Create a shortcut to the file that launches the program. Copy or move it to
the start menu folders. If you want this shortcut to appear just for you,
use the folders here: .\Documents and Settings\<your account>\Start
Menu\Programs. If the shortcut is to be available, use .\Documents and
Settings\All Users\Start Menu Programs.
A quick way to get those locations: Right click Start button and select
Explore or Explore All Users.