If you are using the default Start Menu in Vista you can easily add a shortcut to the Games Explorer to the right hand side of the start menu.
Here is how:
1. Right click on the taskbar and click properties.
2. Click the "Start Menu" tab.
3. Click the first "Customize..." button.
4. Scroll down to Games and click "Display as a link" to put a shortcut to the Games Explorer or click "Display as a menu" to have a menu display with the games in it.
5. Click ok and Click ok.

The Games Explorer is a virtual folder that you can get to with a path of shell:Games.
You should be able to create a shortcut to that.

Ok. I thought that would work.
Since it didn't I just made a zip file with my copy of the shortcut.
You can download it from http://www.techoddity.com/temp/GameExplorer.zip
Just copy the shortcut from that zip file to the start menu folder.