ADWCleaner is not a bad program. It does not put a shortcut in your menu because it is not a program that needs to be installed. As you noticed you just need to double click on it to start it. If you really want a shortcut then create a folder in Programs called ADWCleaner and copy the file into it. Then on the desktop right click a space and select "New/Shortcut. Fill out the location you created for the exe file and next then type a name for the shortcut. Finish and you will have an icon on the desktop which you can drag into the Start Menu.
I stopped using it because it does not do updates, you have to download the latest version each time so it's OK for the occasional check.