I'm pretty sure there are programs that do this.
Still, it isn't that hard.
Take this ahk script:
splitpath,1,,OutDir
run,explorer %OutDir%
Save it anywhere and add an entry in the send to menu with a shortcut to it.
There's a way to add the context menu as you mentioned, but i can't add that entry for all the filetypes at once, you'd have to add an entry for each filetype (which makes no sense).