I am not sure all types of files will give that option.
Do you see the option if your CTRL+Right Click (maybe Shift+Right Click)?
The option is located in the following file,which is hidden, as is the Default User Folder. So set the folder options to show hidden, then if you do not see it in YourUser folder, it is in the Default Users folders. Copying it to YourUser might help, but not sure.
C:\Users\YourUser\AppData\Roaming\Microsoft\Windows
There may be another way, but I will have to research it.