Here's how to add a Games sub-category under Programs.  The same procedure can be used to

add a new sub-category for any type of software, and can be added under any of the main headings,

as appropriate.

First, right-click on the Start button and select Edit Applications Menu

The Menu Editor window will open.  Click the Programs heading to select it, then click the new item

icon on the toolbar.

In the New Item requester, enter Games, and click OK

Next click the newly created Games sub-heading, and again click the New Item icon on the toolbar. 

In the New Item requester, enter the name of your first game, and click OK   Fill out the required fields

for your game in the right pane.

Repeat the last two steps for each additional game.  Click the floppy disk icon on the toolbar to save your changes, then exit the Menu Editor.

That's it.  Hope it helps.