Alternatively, you can also use freeware FreshUI. You can get its License code by mail free. It is a lesser know but nice utility for configuring hundreds of useful hidden settings in Windows. It works on Vista too.
After installing it, run it and go to Applications > Internet Explorer > Internet Explorer Menu Settings > Make sure Enable Context Menu on right side is enabled. If it is not or a red cross appears in fron of it, double click on it and Enable it.