This may be old news but I have had good luck added games to the Games Explorer menu then editing them with VGEE.
The trick is to drag the shortcut into the explorer window first. Then open VGEE and load the game. I get a message about the entry needing fixing, which I do, then the editor lets me add links and box art.
The best part, it works for my steam games as well. In steam click "add shortcut to desktop", then follow the same steps as above.
No more regedit for me.