To add directories to your "Download to" menu (file context menu in the Search window), you can use the Add and Remove buttons, or drag and drop folders from a Windows Explorer window.

Add folder: Browse for a new folder to add to the list. After selecting the directory to add, you will be able to define the virtual name under which it will appear in the menu.
Rename: Rename the selected folder(s).
Remove: Remove the selected folder(s).