Did you ever notice the free space under Run in Windows XP Start Menu?
Following tutorial will teach you how to use that free space for your own shortcuts, e.g., you can create a shortcut of Windows Media Player in that free space, as we have done in following screenshot:
Simply download following ZIP file:
Extract it and run the extracted .REG file. It'll ask for confirmation, accept it. Now you'll see a new entry for Windows Media Player under RUN. (You might required to log off to make changes).
PS: In the above tutorial a few things can be changed for other shortcuts. You can change the entry name if you want.
The "Default Icon" is the path of the icon file, which is displayed for the shortcut. (NOTE: Double slashes are compulsory).
Similarly, the "Param1" in "Instance\InitPropertyBag" is the path of the executable file, which you want to create the shortcut for. (Double slashes are compulsory).
NOTE: This .REG file has been created assuming your Windows is installed in C: drive. If its installed in any other drive, then change the drive letter in "PARAM1" section of .REG file.