If you want to simply
add a shortcut to the Start Menu, my preferred method is the same as
app103's, even though I'm using the standard WinXP Start Menu, not the Classic Start Menu.
But I think you wanted to
pin a document (or a shortcut to a document) to the Start Menu (i.e., so it would appear like
"We Need ShortCut Here.txt" does in
Stoic Joker's image, assuming you're using the standard WinXP Start Menu, not the Classic Start Menu).
While the standard Right-Click context menu generally only displays the "Pin to Start menu" for programs and shortcuts to programs, I think you'll find that
Ctrl+Shift+Right-Click will reveal the "Pin to Start menu" option in the Right-Click context menu with
any file or shortcut (e.g., executables, documents, zips, images, mp3s, etc., etc., etc.). (You will also have to Ctrl+Shift+Right-Click to Unpin from the Start menu.) This works on my XP Pro system with the standard XP Start Menu (i.e., the one in
Stoic Joker's image), but I'm not sure about the Classic Start Menu (when I tried switching to the Classic Start Menu just now, I didn't see the Pin to Start menu option at all).
Let us know if that works!