You can change the folder that "My Pictures" and other special folders point to using Tweak UI in the XP power tools, but the list of things you can include or not on the right side of the start menu seems to be hard coded in this registry key:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\Advanced
As you can see, there are entries for Start_ShowX where X is:
ControlPanel
Help
MyComputer
MyDocs
MyMusic
MyPics
NetConn
NetPlaces
Printers
RecentDocs
Run
Search
and SetProgramAccessAndDefaults
The way this looks, explorer must check these explicitly named keys to decide what to display, but it then uses the paths defined for each elsewhere (HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\Shell Folders or HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders, I'm not sure which - probably the latter though)
So, you can change the name of "My Pictures" on the menu by right click and rename, and you can change where it points using Tweak UI - but it's a bit of a cludge, and would result in your setting for "My Pictures" pointing to that place too if you used it elsewhere as a shortcut. If you never choose "My pictures" to jump to the current My pictures folder, then this isn't an issue.
If you want though, you could turn on one of the other special folders on the start menu which you don't use (My music is the only other one I think), and rename and relocate that one instead to get what you want.
BTW - I've not tested out changing the location myself with Tweak UI, as I'm quite happy where my "My pictures" folder is