Improving your Start Button
The windows icon and text are data stored in the resource segment of explorer.exe, a windows system executable (you can find it in C:\WINDOWS). Don't worry if the first part of that sentence means nothing to you, as it's just extra info for those interested. What we will actually be doing is modifying that resource.
At the time when I was experimenting for the first time, I used a hexadecimal editor and manually edited the bits related to the button – a rather impractical method. Later, when I decided to change it again, I experimented and learned of a much easier way. I'll describe it in five easy steps:
Step 1: Grab a program for modifying resources
It's easiest to use XN Resource Editor, which is free (it's the topmost link). Download the executable and install.
Step 2: Set the stage
Open My Computer and maneuver to C:\WINDOWS. You should see a file named explorer.exe, that has the My Computer icon. Drag it somewhere to the side with the right mouse button and select "Copy Here" to make a copy of it within the same folder. Rename your copied file to "explorer_edit.exe".
Step 3: Modifying resources
Open XN Resource Editor and open your newly copied explorer_edit.exe. Now expand the directory tree to the left: String Table >> 37. You'll see table appear on the right; go to row 578, which should say "start". This is the text that appears on your start button, and now you can change it to whatever you like. There is no character limit, but don't make it too long or you'll be wasting valuable taskbar space. Also, you can't leave it empty (it would be good, but you can't because your taskbar will completely disappear) though you may enter a single space to get a very similar effect. Go to File > Save, and exit the resource editor.
Step 4: Setting a new default shell filename
Explorer.exe is a program that acts as the "shell" of windows, that is, it's an important program that needs to run all the time, and it's essentially the one you're using whenever you think of what a file or folder "looks" like. Now you've created a modified version of explorer, with your own text, but you need to inform windows it has to load your version from now on.
Open the start menu, choose Run and type "regedit". A program will open that allows you to view and make changes to your system registry, which is a kind of database of user preferences and other stuff that windows uses to keep track of installed programs as well as it's own components. Be careful what you edit here, as deleting something accidentally could very easily disable your OS.
Using the directory tree, find HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\WindowsNT\CurrentVersion\Winlogon and have it selected. On the right, you will see a series of values. Find "Shell" and change it from "Explorer.exe" to "explorer_edit.exe", the name of your edited explorer. Exit regedit and you're done! There's no simple way to replace the explorer program while windows is running, because it's always in use. I used to use the installation CD to go into the Windows Recovery Console (an MS-DOS like environment with only a few basic commands) and overwrite it from there, but that turned out to be risky and cumbersome (you could damage explorer.exe or rewrite it accidentally, and it takes a long time). Only one last thing to do.
Step 5: Reload explorer.exe
This just means log off and log on again, or restart. Either way, the next time you log into Windows, you'll see your new start button!
Other fun stuff
It's easy to edit all kinds of text you see by using this method. For example, in Resource Editor, String Table > 34 > 1033 defines the text that appears when you hover over your start button. And it's not just limited to explorer.exe and text. You can practically edit any executable with a compiled resource (.exe and .dll for example) and customise it. Also, you can change icons (like the windows icon on the start button, and much more). Always create backups so you can reverse the process, and be very careful when editing any system files (or any program in general). I can't (and don't want to) take any responsibility for system instabilities or other problems you experience as a result of trying this out. All I can say is that I've been doing it for a while, and if I keep the editing reasonable, I find I'm not endangering the stability of my system at all.
Have fun!