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Make sure you backup your registry first. If you are
inexperienced, get somebody to help you out.
Now for the fix. On most systems the registry key involved
is:
HKCU\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer
Set the DWORD "NoFileMenu" to 0 (that's a zero) or
remove that value from the registry completely. A value of 1
(the number one) suppresses the list.
You will need to reboot to set the change on the system.