I found this in a few different places around the 'net - hopefully it's helpful:

Keep Your Favorite Programs Near the Top of the Start Menu

Do you have a favorite application that you frequently use? If so, you can elevate its priority on the Start menu by putting it at the top of the list. This ensures that the program will remain on the Start menu and cannot be bumped by other programs, even if you use the others more frequently.

• Right-click the link to your favorite program on the Start menu and select Pin to Start Menu.
  Your program will be moved permanently to the top part of the list, just below your browser and e-mail programs.

Use the Address Bar to Launch Programs or Web Page. Windows XP enhanced the functionality of the Address bar to make it easier to launch your favorite programs. You can add the Address bar to the taskbar on the bottom of your desktop. Then you can launch programs simply by entering their names in the Address bar.

For example, to launch Calculator, simply enter calc in the Address bar. Anything you would normally enter in the Run box on the Start menu can be entered in the Address bar. The Address bar also lets you quickly go to any Web page you specify.

To add the Address bar to the taskbar:

• Right-click an empty area on the taskbar.
• Point to Toolbars, and then click Address.
• Open the Address bar by double-clicking it.