Add/Transfer Shortcut From Desktop to Start Menu or All Programs menu?

How do I put a shrtcut onto the Start Menu or All Programs menu which I see when I click the STart Menu button in Windows 7 Home Premium 64 bitDell 5040 Inspiron laptop?

 

This should work.

Step 1: Click the Start button at the bottom-left corner of the screen, then click All Programs.

Step 2: Browse the folder containing the program for which you want to add an icon to the Start menu, then click the folder once to expand its’ contents.

Step 3: Right-click the icon for the program that you want to add to the Start menu, then click the Pin to Start Menu option.

 

Maybe I am confused but perhaps only programs say "pin to start menu" while other shorcut icons do not. The one I had in mind to add is a desktop shortcut to a website and there is no "pin to start menu" option. If I click a program shortcut like Macrium Reflect then I do see a "pin to" option.
Is there a way to make a NON-PROGRAM shortcut to the Start Menu? I am sure I did this before in Windows 98 and XP. If there is I so far have not found it. Only see the "pin to" option on programs shortcuts.
It DOES appear that only PROGRAM shortcuts are on the Start menu so maybe what I wanted to do is not possible.

 

Do you already have a shortcut created some place on the system that you want to use (add to the Start Menu) or do you need create one then add it to the Start Menu?

 

I HAVE the shortcuts, mostly to internet sites, and I just wanted to add to start menu for convenience. I thought on XP I just opened the start menu and copy/pasted them there. Could be mistaken though. Have to look and see. XP is right next to me. Only need to turn it on. Use mostly the W7 now.