What you're doing should work, assuming a couple of things:
HTML-Kit 292's ...\HTML-Kit\Bin\ directory is listed in the PATH environment variable. Otherwise HKSendTo.exe has to be invoked with the full path. 292's setup program doesn't modify PATH.
File name passed to HKSendTo.exe has the absolute path.
I'd test it this way and then remove the extra steps:
Create C:\stuff\ folder (can be anything, just for example)
Copy HKSendTo.exe to C:\stuff\
Open a Command Prompt window (cmd.exe from Windows Start menu)
Run these commands:
CD /D C:\stuff\
ECHO hello > test.html
HTML-Kit 292 should open, if it's not open already, and load C:\stuff\test.html Once you make sure that that part is working, you could create shortcuts or *.bat files to make things a bit more convenient to use. Let me know if I can help.