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You can create a text file, copy the follow lines to it, never forget to change the path to sublime. 

Then rename it to something.reg, and double click it to import it to windows register.Now you will get it.

Windows Registry Editor Version 5.00
[HKEY_LOCAL_MACHINE\SOFTWARE\Classes\Folder\shell\open as sublime project]@="Open folder as sublime project"
[HKEY_LOCAL_MACHINE\SOFTWARE\Classes\Folder\shell\open as sublime project\command]@="D:\\Pro\\Sublime Text 2\\sublime_text.exe %1"