How do I add a item to the "New" context menu?

Can one use this to add entirely new file extensions in the registry?
For instance, there's a game I play that uses a scripting file (in reality nothing more than a plain text, but it's annoying to always have to go save-->all files--->.sqf)

I want to make it so that I can just spawn a new .sqf from the New menu, is this possible? What I have tried doing:
HKEY_LOCAL_MACHINE\SOFTWARE\Classes\ ---> (New Key --> .sqf) ---> (New Key ---> shellnew) --->(String "NullFile")

But nothing is coming up. Is there a way to do this?

Goto HKEY_CLASSES_ROOT

Select relevant file extension or create one... ie .bat

Right click file extension and select New Key and name it ShellNew

In that key right click default and create a new string value called
either...
FileName containing a valid path to c:\windows ShellNew\example.bat
or
NullFile leaving it's value blank.

The FileName method allows you to use a template file which may contain
in the case of a batch file @echo off as the first line.

The NulFile method creates an empty file.

Hope this helps.