Click "My Computer", Under directory "Documents and Settings", you will find a subdirectory "All Users" and other directories under different user name. Under "All Users", you will find a directory called "Start Menu", Under this, directory "Program", you will find all menu items under here. Those items will be seen by all users. You just move the one you do not want other to see ("Cut"), to the corresponding subdirectory under your Name ("Paste").
if you want to set directory access to different user, I will post tommorrow.
By the way, XP's account security can be very very easily by-passed, so do not rely on it. Are you trying to restrict kids? If you are, just forget about it, they are much smarter than you think.