You can't delete the control panel.
Right click on Start and select properties. Go to the second tab called 'Start Menu' and select 'Customize'
You will get a new screen. Go to the second tab called 'Advanced'.
You will see a list with a few entries in it. The first is the Control Panel. Check the first radio button to have it displayed as an item in your start menu.
The second radio button displays it as a menu and the third makes it so it doesn't show up on your start menu (probably what it's at now).