StackOverflow has a "How to" page that may be helpful:
http://stackoverflow.com/questions/455077/how-to-create-a-right-click-context-shell-shortcut-edit-with-emacs
 
The site refers to "emacsclientw.exe", but "gnuclientw.exe" settings would be similar, for example:
REGEDIT4
;  This puts "emacs" into the right-click menu in Windows Explorer.
[HKEY_CLASSES_ROOT\*\shell]
@=""
[HKEY_CLASSES_ROOT\*\shell\emacs]
@="&Emacs"
[HKEY_CLASSES_ROOT\*\shell\emacs\command]
@="C:\\emacs\\bin\\gnuclientw -q \"%L\""

Best regards,
Bryan

________________________________

From: Harry Putnam [mailto:reader@newsguy.com]
Sent: Mon 8/23/2010 1:15 PM
To: help-emacs-windows@gnu.org
Cc: help-gnu-emacs@gnu.org
Subject: [h-e-w] [windows Q] `emacs here' like windows power tool `cmdprompt here'



My subject line is probably a miss-quote since I don't recall what the
MS `power tool' was called that allowed user to open a dos command
window at whatever directory she was browsing using a right click
menu.

If anyone knows what I'm talking about, maybe you'll know if anyone
has ever written something for emacs that would allow user to open an
emacs terminal at whatever directory she is browsing.