Add setup.exe to the start menu

[Lennart Borgman]

Dave Korn wrote:

>  Setup.exe doesn't actually install a copy of itself anywhere, but then again
>we could always get it to create a shortcut to http://cygwin.com/setup.exe,
>which would also have the advantage of making sure people use the latest
>version all the time...
>
Doesn't it check this every time it is started?

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