>>>Do you know how can I achieve the way I want with my All Programs?
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>>You can create your directories there - or in the start menu itself (i.e. one level up). It's just a directory structure, although what you see in your start menu is merged from your own and All Users. You can manipulate it just like any other directory structure - create directories, move things around.
>
>Yes, I was thinking about it. But why the All Programs are not displayed in alphabetical order?

Click Start, All Programs...
..then hover the mouse over any of the programs...and right click. You'll see a menu option that says "Sort by Name". Do that and they'll all be put in alpha order...