the "new" submenu is populated by the items within the shellnew keys of various extensions. xls, for example, in my machine references "excel9.xls" which exists in C:\windows\shellnew on my machine.
possible entries in the shellnew key include Filename (as above) Data (which creates a new file with that data in in it; for example, my RTF example) or "nullfile" which means to create an empty file; this one is used for files that have no necessary structure, such as text documents. The files are created immediately, and of course the files have associations for the appropriate programs.
As far as new documents, basically, the Office programs have a file in the shellnew folder and appropriate registry entries for the menu. the file is simply blank, and will get it's settings from normal.dot or the default worksheet (I forget the filename), just like File...New, but you wouldn't need to open the program just to create the file, for example if one was creating a certain set of files before editing them.
