The instructions you were following used a shorthand to describe the list of things you need to click on, not all of which are menu items. It sounds like you assumed they were all menu items and stopped looking for other things to click on when you ran out of menus? If that's the case we can keep that in mind when describing things, to avoid the confusion, although it is not something I can remember causing problems before now.
I still don't know which writing we're talking about here, and whether it is a forum post or a FAQ or something else. ("Leo wrote Nov 28, 2011" tells me I wrote it four years ago, but I can't remember what I wrote on that day.)
Forum posts are often going to use some shorthand, since brevity is often clearer, and fast iterative responses are generally better than a single response that tries to cover every possibility and ends up overwhelming someone with detail they don't need. The forum is a conversation where people can ask for clarification if they get stuck, and quickly receive exactly as much information as they need.
The manual goes into things in more detail, as should the FAQs and tutorials in general, since their goal is to cover things extensively. Forum threads fill in the gaps, and we often make changes to the manual in response to forum threads when we see something was missing or confusing.
So, if there are places in the manual or FAQs where something is missing or confusing, let us know and we can improve it. OTOH, if you find a forum post that isn't detailed enough, just ask for clarification in the thread. We are happy to give it, we just need to know what needs clarifying.
DesertDwarf's post above has the extra details of exactly what you need to click at each stage (not just the names of what to click), if you still need it.
The File Types dialog is where you go to edit the menus you get when you right-click different types of files.
The reason you go to File Types to edit a menu is that the menu you get when you right-click a file is different for each type of file (including menu items which can be added for the special generic types which match "All Files", "All Files And Folders", and "All Folders"). Those menus, and File Types in general, are part of the design of Windows, not Opus; Opus merely provides a way to edit the menus. Windows itself used to have a similar File Types dialog where you could edit things, but some years ago Microsoft got rid of it entirely and the only way to edit them now is to edit the Registry directly or use a tool like Opus.
On the other hand, if you want to edit other menus which are not tied to File Types (e.g. the menus on your toolbars), you do that via Settings > Customize Toolbars instead.
