Just right click and drag the icon the same location, then let go of the right mouse button. You will then be presented with the option to either move, copy or cancel.

Another way is to double click on the Start up folder in the start menu (or right click and choose Open). This will open the folder in a new window; then you can either drag (left for straight move, or right to have options) the icon from the start menu to the folder, or right click the icon in the start menu and choose copy, then go back to the older and right click (or go to Edit), and choose paste, to add the shortcut.

Many ways to skin this cat (you could also add an entry into the registry if you wanted, but this might be a little too complicated for many people).