Sorry, if you're looking for an install program to do it for you, you're out of luck.
To add to the start menu:
1) Right click on arduino.exe and drag it to the desktop. When you release the button, choose "Create shortcut".
2) Right click on the start button and choose "Open"
3) Double click on the "Programs" folder.
4) Drag and drop the short-cut from the desktop into the Programs folder.
5) Close the folder.
Voila! Arduino is now in your start menu.
To associate arduino with .pde
1) Find any .pde file
2) Right-click and select "Open With"
3) Click on "Browse" and find arduino.exe
4) Make sure the box is checked for "Always use the selected program to open this kind of file"
5) Click "ok"
Yikes - this should work, but doesn't seem to on my computer. It keeps wanting to open "Processing".