This one works in Windows 98 (SE only?) and 2000. It might work in NT4 as well, depending on which service pack and explorer version is installed. I don't know about XP (apparently it works as well).
- Navigate the start menu to the entry you want to remove.
- Right Click the entry and select the "Delete" entry at the bottom of the pop-up menu.
- Click the "OK" button on the confirmation dialog.