Start by opening the Windows Registry with [windows R], typing [regedit] and hitting [enter]. Search for the key:

HKEY_CLASSES_ROOT\CLSID\{2559a1f6-21d7-11d4-bdaf-00c04f60b9f0}

Double-click on the Default entry in the right window and replace the value with a name of your own. If you want to link to a downloads directory name it downloads.

Create a new key by right-clicking and selecting New > Key from the menu. Name the key DefaultIcon. Double-click on Default again and enter a path to an icon on the computer system. You can for instance use shell icons. To use the generic folder icon you give the key the following value:

%SystemRoot%\system32\SHELL32.dll,-4

Click here for a full list of possible values.

Open the subkey Instance\InitPropertyBag. Right-click and select New > String from the menu and name it command. Give the string the same name that you have chosen in the first step. We will name it downloads so that it matches the name that we have selected.

Create two additional strings by right-clicking and selecting New > String. Name the strings param1 and param2. Double-click param1 and give it the value explorer.exe. Double-click param2 and enter a path on the computer system, e.g. c:\downloads\.

Navigate to the following Registry key:

HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\Advanced

Create or edit the DWORD entry Start_ShowOEMLink. Double-click it afterwards and give it the value 1.

Now restart the computer, log off or kill and restart the explorer.exe process. The new entry in the Windows Start Menu should appear.