Sendto shortcuts not working on Vista
Maybe you're playing around in the wrong folder.
Try navigating to shell:sendto from Run or Explorer.
If I copy the actual application
You're not meant to copy the program. Just a shortcut.
Edit: According to http://windowsxp.mvps.org/sendtofix.htm, this issue could occur from
- The SendTo shell folder path being incorrectly set in the registry
- Missing 'drop handler' registry values
That site also has a fix for XP and Vista. Worth a try (backup registry first)