There's a thread in the FAQ forum about how to add Pegasus as the default mailer for Internet explorer
I wanted to point out that this also works to add Pegasus to the start menu in the 'E-mail' slot. Once you select Tool->Options->Hyperlinks->System Mailer... Pegasus will show up in the drop down box allowing you to set it as the e-mail client that shows up in the start menu.
This works in XP (and W2K!), I can't comment on Vista or Windows 7.