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.