Two solutions are provided by David:
1) Edit the registry
Save the following content as a .reg file and merge with your registry
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Windows Registry Editor Version 5.00
[HKEY_CLASSES_ROOT\*\shell\Edit with Vim]
[HKEY_CLASSES_ROOT\*\shell\Edit with Vim\command]
@="C:\\Program Files (x86)\\Vim\\vim72\\gvim.exe \"%1\""
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2) Vim as a "send to" target
Place the link of the "gvim.exe" into
C:\Users\\AppData\roaming\microsoft\windows\SendTo