This is how to add a shortcut to the XP Start Menu in addition to the default "Internet Explorer" and "Outlook Express" (when XP Start Menu is in XP Style, not classic).
Right click any application icon in Start Menu, on the desktop or in Explorer and select "Pin to Start Menu".
Alternatively just drag and drop the icon to the Start button.
and for those trying to create a shortcut to a network drive:
set the target of the shortcut to: explorer.exe "\\networkdrive\location"
I spent quite some time figuring this out :P