Here's where you'd find that for SSMS with 2005.
[font="Courier New"]\HKCU\Software\Microsoft\Microsoft SQL Server\90\Tools\Shell\Open Find\Places\UserDefinedPlaces[/font]
Add subkeys Place0,Place1,Place(n)
Under each subkey add two REG_SZ values
[font="Courier New"]Name = "Shortcut Name"
Path = "Folder location"[/font]