First open up my computer and browse to my documents, so that you can see the my pictures folder (but don't actually go into the my pictures folder).
then, open up another my computer window, and browse to c:/documents and settings/[your username]/sendto (actually open the sendto folder). you may not be able to see the sendto folder, if not click tools->folder options->'view' tab->click "show hidden files and folders"
now, you should have two windows open: one showing the contents of my documents (showing the my pictures folder), and the other showing the contents of sendto folder. with your right mouse button, drag the 'my pictures' folder from the first window to the second. when you let go, a little menu will pop up asking if you want to copy, move or create a shortcut to the folder. click create a shortcut.
that's it! (sorry if i went into too much detail)