Change the 'start' menu name into your name...

Only three steps you can do it...              

                                                                        
 Step1:- Download "resource hacker" software. You can download it using Google. It is free to download.

Step2:- Modify EXPLORER.EXE file.

i)  It is located in c:\windows\explorer.exe
ii) Start resource hacker program, Open explorer.exe.
iii) Expand "string table" and expand "37" change "start" to your name and hit compile script also expand "38" and do the same procedure as like above.
iv) Save the modified "explorer.exe" to your "name.exe". by choosing the option save as.( don't hit to 'save' option, you need to keep explorer.exe back up.) 

Step3:- Modify the registry....

i)  Run the command 'regedit' from start->run->regedit.
ii)  Open the path- HKEY_LOCAL_MACHINE\ SOFTWARE\ Microsoft\ Windows NT\ Current Version\
iii)  Click on "Winlogon"
iv)  In the right side you will find "shell", right click to modify it, in the "value data" portion enter your newly saved explorer, which is your name.exe.
v)  Click "OK" and restart the system.

Friends, plz be careful while doing above process...
If you did any mistake when editing registry, after reboot, XP will load without explorer.exe. Means, nothing will appear on screen except desktop wallpaper !!

If this happen, press Alt+Ctrl+Del, hit "new task" browse and open "c:\windows\explorer.exe".

Now you can browse your system, then open c:\windows\regedit, edit "shell", as you did you in above process to default "explorer.exe".

reboot....

Nevertheless if you are confused you can see my video which i am going to upload after few days.

Enjoy....