It’s hard to know where to start with this question, as it implies a lack of so much knowledge…
I’m assuming that you’re using a Windows Operating System.
The short answer to your question is “You need to sign in as Administrator to do what you want.” More on that later.
Normally the Start menu doesn’t contain programs. (There’s no reason why it can’t, as it’s just another folder on the hard drive – I think – and as far as I know any folder can hold any file. It’s just that the Start folder, when properly organized and used, isn’t used as “just another folder”.)
Normally the Start menu contains shortcuts to 1) executable programs 2) directories / folders with their own shortcuts or executables and 3) recently created (or opened) files from other programs. (I’m new to Windows 7 myself, and I have to confess that I don’t even know where the Start menu is stored on the computer.)
I routinely sign into my computer as Administrator, but I almost never attempt to “move” things from the Start menu. The best ways to do that are via the Control Panel and “Programs and Features” (in Win 7) or “Add and Remove Programs” (earlier versions of Windows).
Alternatively, and even safer than that, if you simply want a more convenient place for a shortcut, then right-click and drag the icon or existing shortcut to the desktop (or folder, or whatever else is convenient for you) and “Create shortcut here” for that item.
I would never recommend that you sign in as Administrator to “do what you want anyway” if you don’t have a very good idea of what you’re about. There is so much complexity built into modern Operating Systems (and we haven’t even talked about the Registry yet) that you could put your OS, your executable programs and your data at risk by attempting to do circumvent your system’s built-in modes of operating.
Ah, there it is. I just found “Start Menu” on my own system. I’ve had the new machine for a year and this is the first time I’ve gone looking for it.
C:\Users\Owner\AppData\Roaming\Microsoft\Windows\Start Menu I recommend that you not go there.