It's in the registry. If you are comfortable editing the registry, see the attached for sample values (this is from my PC, so i can't be sure it's completely authoritative).
Thanks. When I looked later the menu item was there. So either I'm going crazy or it sometimes doesn't appear (like if you're at the disk-drive level and not within a folder). I can't reproduce the behavior now on Win98SE, though. So it's probably just a Win98 behavior (or I really am insane).