Hi Milan --
Yes! You can set this using the preference manager utility in Windchill:
From Windchill, go to Quick Links > My Settings > Preferences
The preference is available under Documents.
Right-click Default contexts under Windchill Documents in Windows Explorer.
Click Set Preference and set it to All
For information about all the configuration options, you can use the Windchill Help Center:
PTC Windchill Fundamentals > Working With Windchill Objects > Documents > Windchill Desktop Integration
User Setup and Troubleshooting
Desktop Integration Preferences
(You'll need an eSupport login to access those links, or you can click any help icon in Windchill to open your local help center).
If you get lost in the WHC, click this button to show where you are in the table of contents: