Here is a fantastic article from Aaron Parker on how to do Terminal Server Start menu re-direction. We currently have some archaic application called Startbuild that does it at the moment, for the most part. i will be rebuilding our TS servers soon and i can tell you that this will be the first thing i implement.
This is another great post in a long line of posts that i have found of great use for setting up my environment. Great work, keep it up.