IE under windows XP has a context menu (right-click) in the location
box, which allows you to INSERT UNICODE CONTROL CHARACTERS. Is there a
way to enable this context menu elsewhere, like when you are writing in
a textbox? Even universal enabling in IE would be good enough.

Incidentally this context menu (insert unicode control characters) also
exists in Notepad. A related question would be how to enable it in
other applications.