How do I change th location of Steam games in my Start Menu?

I find the default "ProgramName" or "CompanyName/ProgramName" scheme of Windows' Start Menu hard to navigate, and always arrange it in a category structure ("Media/Winamp" and such). Unfortunately, Steam does not offer a choice of where to put it in Start Menu, and even if I move it manually to "Games/Steam", newly installed games still appear at "Steam". Moving them every time by hand is a hassle, and probably causes problems at uninstalling as well. Is there a way to override this location in Steam configuration/registry/etc?