If you don't want to go the freeware route, you could try "IEXPRESS.EXE", which can be found in: C:\Windows\System32!
Here's a quick walk-through:
Renegade's Random Tech: How to Convert a .BAT file or .VBS file into .EXE to Enable Pinning to XP Start Menu

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"Any sufficiently advanced technology is indistinguishable from magic". - Arthur C. Clarke
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