My approach is similar to "In_Parentheses" response. I use Windows XP.
I just use my file manager and create new sub-folders under:
C:\Documents and Settings\All Users\Start Menu\Programs\*
Then you just use your file manager and drag and drop stuff into the
folders.
I currently have folders for malware programs, graphics, utilities,
Microsoft Office and media players.
Actually, the Start Menu items can appear under any user, but most will
show up under "All Users".
The only problem with doing this is that when you uninstall a program,
the moved short cuts will not be automatically be deleted. You will
have to manually delete them.