>There is any way or Window´s API to add/create new options at right-click menu of desktop's shortcut that allow us to run others applications.
>(i.e: like run others VFP's applications that produces some changes in our application's properties recorded in some .INI/DBF files)

Why not:
Use main program (PRG) file with PARAMETER statement.
Make the shortcut to point to your program, and pass the second program as parameter.
I am not sure I have understand properly but I think you want to run an application with a variable that says what to do.

HTH