Well this wish did come true, so I will show you how I did it.
I navigated to where my Downloads folder is located on my windows explorer and left the window open.
I then navigated to my user account's home folder (mine was C:\Documents and Settings\freeman) on another explorer window. If you are using Vista or Windows 7, the path will be similar to this C:\Users\freeman. Goto the menu bar (in Vista and Windows 7, you will have to press the Alt button first before you will see the menu bar), click on Tools, Folder Options, choose the View tab and under the Advanced settings make sure that Show hidden files and folders is dotted. Apply and Ok the selection, then you should be able to see the Send To folder (it will appear faded).
Right click on the desired folder and drag it to the Send To folder, and choose Create Shortcut here.
Well that's all, you will now be able to send files and folders directly to this folder from anywhere.