It was not on a network that i wanted to set it up for, it was on a single computer with mulitple users. But, i already figured it out.
You want to right click on the start button and select properties to customize. browse to the executable and add it to the start menu. once every user clicks on the icon it will act as if it installing but it only setups it up for that user placing all the files that user downloads in the correct folder c:\documents and settings\%user name%\shared)