[Osiris]

While Windows XP and Vista offer a way to pin files to the Start Menu both operating systems do not offer a way to pin folders to it. You might have noticed that a right-click on a file on your hard drive does not give the option to pin it to the Start Menu as well, it only appears if you press the shift key while right-clicking the file.
This however does not work for folders. One of my friend wanted his folders there which is why I researched the matter and found a way to add the pin to Start Menu right-click option for folders as well. This tweak requires that you open the registry and add a new key to it, make sure you back it up before you continue.
Open the registry by using run in Windows XP or the Search in Windows XP. Type in regedit32 and hit enter. Navigate to the following key in the registry and right-click choosing New > Key there.

HKEY_CLASSES_ROOT \ Folder \ shellex \ ContextMenuHandlers

Name that key {a2a9545d-a0c2-42b4-9708-a0b2badd77c8} and close the registry again. If you right-click a folder now while pressing the shift key you should see the option to pin that folder to the Windows Start Menu.
To reverse it you simply delete the key in the registry. Changes will take effect immediately, no reboot required.
via Thinktechno

[EricB]

I'd always drag the folder to the start button