The icons, bars, and desktop of Windows, as well as some menus, are only a graphical representation of the directories that form the OS. Take the "Send to..." menu, for example. It contains shortcuts to the A: drive, to programs, etc. But it's really a directory labeled "Sendto" located within the Windows directory, which contains the link to the disk drive, shortcuts to programs and a number of other things. Because of this, you can personalise it by adding, say, a shortcut to a program that you often use, or even to a folder where you like storing your data.
This contains shortcuts that you have placed on your desktop. You can place them directly on the desktop or in this directory (not necessary, but helpful to know)
This directory is very important because it contains the most commonly used DOS applications (particularly when you switch to MS-DOS mode, but certain memory managers located within this directory are also run in the background by Windows).
This contains cookies which you have accepted.
This contains your favourite places, i.e. links to websites (or directories) which will be added to the "favourites" menu of your browser so that you can easily access them. You can add them manually by placing them in this directory or with the use of your browser.
If you want the website "How Does It Work?" to be added to your favourites, just press CTRL+D at the same time.
This contains character fonts that have been installed. You can install one manually, by downloading it and copying it into this directory.
As its name suggests, this is the Windows help directory.
This contains the history of the places you have visited on the Internet: a complete list of websites you have been to. It is recommended to "clean out" this directory from time to time, if only for the sake of your privacy.
This shows the Start menu in your taskbar, represented in the form of a group of folders and files. You can also access this directory by going to "Start/Settings/Taskbar and Start menu/Start Menu programs/Advanced".
Phew!
This is the directory that holds all information about hardware, dynamic link libraries (DLLs) of programs you have installed, multimedia extensions that you have installed, and many other things, all in a jumble.
Windows uses this directory as a cache for storing temporary files (hence the name). However, Windows (which thinks it's so clever) doesn't always think (ironically enough) to erase them. So take time now and then to clean it out, and you'll save up to 100 MB of disk space.