You can’t manually make the registry tweak yourself using regedit.exe because there’s no way to add a default item of type REG_EXPAND_SZ, but I’ve provided a registry hack download for you.
Please note that this does not work with the Home editions of either Vista or XP because they don’t come with Group Policy Editor.
Windows Vista
After installation, you will find the new item by first choosing Additional Options in Control Panel.
You should now see Group Policy Editor in the list.
Windows XP
You will have to switch to the Classic View in order to see the icon in XP.
And now it will show up in the list of icons.
Installation
Just download and extract and double-click on AddGroupPolicyToControlPanel.reg to add the icon. There is also another registry script that will remove the items.
Download AddGroupPolicyToControlPanel Registry Hack