I don't know how to put the entry in the "new" menu, however I'll give you a suggestion on how to acheive similar effect.

When you select a directory, you get the familiar items open, expolre, find in the File menu and in the sf10 menu. You can add a new item under these, in the file associations dialog, that has an action like c:\windows\command\command.com /c echo, ">%1\New.pl", replacing command\command.com with system32\cmd.exe on NT-derived systems (including XP). Then, if you open a folder in Explorer, you can show the folder tree on the left side, select the folder in the tree, right-click on it, and chose the action. Then, the file "New.pl" gets created.

I used a similar technique on my windows: I created an action c:\windows\command\command.com /k cd "%1", which spawns a new shell window that cd's in the directory.