The Shell Integration preferences page is accessed by selecting Options, followed by Preferences and finally Misc from the main menu bar. Then click on the Shell Integration tab at the top of the preferences dialog.
Context menu
If you would like to open a folder using Magellan Explorer anywhere on your system, you can choose to have it appear on the right-click context menu. You must also have shell integration enabled in order to be able to drag & drop files from archives and FTP sites onto the desktop or onto Windows Explorer.