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

Add Administrative Tools to Your Start Menu

If you are an administrator to your Windows XP Professional machine, you might want to be able to perform administrative functions. Yet, it is sort of a hassle to navigate to the Control Panel and select the Administrative Tools from there.

  • Right-click the Start menu, and then click Properties.
  • On the Start Menu tab, click Customize.
  • Click the Advanced tab, and under Start menu items, scroll to System Administrative Tools.
  • Click Display on the All Programs and the Start menu.

You can navigate through those tools right from the comforts of the Start menu.