I am not sure whether we can put download folder in start menu or not but we can put it as a submenu under my document in start menu;
do the following:
Right-click Start, and then click Properties
Go to the "start menu" tab
Click Customize
Click the Advanced tab
Under my documnet, check the "display as menu"
Click apply, and then OK.
U can also use softwares to do it(such as "Ist security agent"). I m giving the link for software. Here u will also find other options regarding start menu
http://www.softheap.com/restrictions/explorer_0024.html