Creating an Open With menu

Thanks for the reply, I stumbled upon a bash script and came to almost the same conclusion but without the "exec" pre-command.

The man page for exec states that it, "replaces the shell without creating a new process". Am I correct in assuming that replacing the shell you are saving system resources? If not then what is the benefit of using the exec command?

I have Puppy 3.01 installed on my machine and there is a script called "undeb" under /root/my-applications/bin/. Actually it is single line:
#!/bin/sh
exec dpkg-deb2 -x "$@" .

When I run this script from shell from within directory where .deb file located it works like a charm, but when I try to add this script to "Set Run Action" or "Send To" menu and click on .deb file this doesn't work.
I started rox -n with debugging option=on in this script and I can see that for some unknown (for me) reason I get wrong pwd from ROX window:

-from shell:
#pwd
/root/my-documents/test

-and from "rox -n":
#!/bin/sh -xv
wd=`pwd`
pwd
++ pwd
+ wd=/root
echo $wd
+ echo /root

Any other program works fine - Gimp, mtpaint - any!...
What could be wrong with that??