The subject condition is indicative of an incorrect or corrupted registry value at:

HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders\Start Menu

Change the Start Menu value name, a REG_EXPAND_SZ data type, to have a valid data value. The default is %USERPROFILE%\Start Menu.

NOTE: Check the Group Policy at User Configuration / Windows Settings / Folder Redirection / Start Menu for an invalid path. The path must be reachable when the user logs on.

NOTE: see tip 2206 » Windows 2000 folder redirection.

NOTE: You might also want to check:

             HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders\Common Start Menu,

             a REG_EXPAND_SZ data type, which defaults to %ALLUSERSPROFILE%\Start Menu.