Right click the Start menu and click 'Explore' (or 'Explore all users')*
Double click 'Programs'
Right click > New > Shortcut and point to the program you want there
OR
Right click drag a shortcut from the desktop to the folder and click 'Create shortcut here'
OR
Right click drag a program to the folder and click 'Create shortcut here'
That'll add it to the end of the All Programs list
You can also arrange the programs in that folder into subfolders, which is useful.
*Explore will show you what's installed on your account, if you have more than one. Explore all users will show you what's installed for everyone. You can drag folders from one to the other.