Here's what I did with UPX:
1) Create a shortcut to the UPX executable called UPX
2) Stick it in your SendTo folder (in XP, it's in your login-name's folder under Documents and Settings).
3) Edit the properties of the shortcut so that Target = <UPXpath>\UPX.exe -9
Now just right click on the executable, go to SendTo, and click UPX. Voila!
1) Create a shortcut to the UPX executable called UPX
2) Stick it in your SendTo folder (in XP, it's in your login-name's folder under Documents and Settings).
3) Edit the properties of the shortcut so that Target = <UPXpath>\UPX.exe -9
Now just right click on the executable, go to SendTo, and click UPX. Voila!