Did you install msysGit or Git for Windows. msysGit doesn't install
the "Git Bash here"-menu, Git for Windows does.
Fire up regedit and open HKEY_LOCAL_MACHINE\SOFTWARE\Classes\Directory\shell
Look in there for a key called git_shell. It should have a default
value of "Git Ba&sh Here" and a sub-key called 'command'. The command
subkey should have a default value of
wscript "C:\Program Files (x86)\Git\Git Bash.vbs" "%1"
assuming you installed to the default location.
If it's not there, maybe you didn't check the relevant box on
installation but creating these keys and values will fix that.