bordfryr, are you using a upgrade version of WinXP or a full version? Your system might act differently if it is a upgrade version.
1. This is the way that I did it. Double click any folder in the All Programs menu. It should open. Then click the up folder in explorer. This will take you to the root of the All Programs section. Leave that folder open.
2. Then, double click my computer on your desktop. Click the up folder when the window appears. This will take you to My Computer. Right click and drag THAT My Computer to the root folder of All Programs in 1. Release the mouse and choose create shortcut. This is how I did it.
You have to create a shortcut to My Computer. It won't work if the option given isn't to create a shortcut when you drag My computer. You can't drag the desktop My computer. It won't allow you to create a shortcut. Hope this helps.