On the Windows XP start menu there is an area (seen below) that allows you to place shortcuts to your most commonly used programs.

To pin a program to the start menu do the following:

1. Click Start > All Programs

2. Navigate to the program you'd like to place in the start menu above.

3. Right click and choose Pin to Start Menu

To reverse this or remove the icon simply navigate back to the program, right click again, and choose Unpin from Start Menu