If you are interested in a software implementation, this is done by writing extensions for Explorer. The implementation of IContextMenu COM interface and so on. Here is the article www.rsdn.ru/article/winshell/shlext7.xml
So do WinRAR and 7zip. There are other techniques, but they are also connected to COM.
If you are interested in a turnkey solution, that is, programs that allow you to do this, for example
There's settings to add your team, and choose Associate With: Files Multiple.