It is a known issue with cpack. see http://public.kitware.com/Bug/print_bug_page.php?bug_id=9846
You need to use NSIS template to create customised start menu shortcuts.
Steps :
Copy NSIS.template.in from installed cmake directory. (eg C:\Program Files\CMake 2.8\share\cmake-2.8\Modules\NSIS.template.in) to your project's Cmake Source Dir.
Update copied NSIS.template.in similar to below snippet (taken from http://public.kitware.com/Bug/print_bug_page.php?bug_id=9846):
if (executable file is in component 'x') if (installing component 'x') CreateShortCut "$SMPROGRAMS\$STARTMENU_FOLDER\x.lnk" "$INSTDIR\x.exe" if (uninstalling executable x) Delete "$SMPROGRAMS\$MUI_TEMP\x.lnk"
Add below line to CMakeLists.txt just before include(cpack) :
set(CMAKE_MODULE_PATH "${CMAKE_CURRENT_SOURCE_DIR}" ${CMAKE_MODULE_PATH})