Open Windows Explorer, and click the '+' sign next to Drive C;, then Documents & Settings, All Users, Start Menu, Programs, Games.
Click on the Games folder in the left-hand pane, and the games that are already in your Start menu will be shown in the right-hand pane.
Now go to your Desktop, click the icon for the game with the right mouse button, and keep it held down while you drag the icon from your Desktop onto the right-hand pane.
When you let go of the right mouse button, left-click the option to 'Create a shortcut here'.
Repeat as necessary.