The first step is find the system ID of the folder you want to add, these ID's can be found under the [HKEY_CLASSES_ROOT\CLSID] key. The Control Panel's key is called [HKEY_CLASSES_ROOT\CLSID\{21EC2020-3AEA-1069-A2DD-08002B30309D}] and the ID is thelast set of number after CLSID, in this case '{21EC2020-3AEA-1069-A2DD-08002B30309D}'.
Once you've found the ID the hard work is done, now all you need to do is right-click on the Start button and chose open.
Now create a new folder with the name of the folder followed by a dot and the folder ID. For Control Panel create a new folder called 'Control Panel.{21EC2020-3AEA-1069-A2DD-08002B30309D}'. The new folder should now change into the Control Panel logo. Close the explorer window and click on the Start button, and there should now be a new expanding folder for the Control Panel.
Here is the answer. It is not recommended to play with registry.
Good Luck