There is a way to add that key. I will export that key to a .reg file, open it in notepad, copy and pasted the contents to the forum. You can create a new .txt with notepad, paste the contents into the txt. and then close it. Change the .txt extension to .reg then double click it to add it to your registry.
I'm on xp and I've been told you are on 98se. I do have the exact same key with the same default value that is listed on the microsoft sight, but below that subkey, directory also contains other subkeys. They add to my right click menu things like play in winamp, winrar options and drag to disk for my burner program. Are you missing any options like that ? If so, you probably need all the sub keys.
Here is HKEY_CLASSES_ROOT\Directory\Background\shellex\ContextMenuHandlers\New\ (Default) without the other subkeys:
Windows Registry Editor Version 5.00