Pros:  None

Cons:  None

Other Thoughts:  I rate aa's comments as a 5.

If you're on XP or 2000 and have WSH you can do this:
Create a text file, insert the following code & change/add apps. Save file as myshortcuts.vbs & place it into your shortcut folder.

Option Explicit
Dim objShell
Set objShell = CreateObject("WScript.Shell")
'Calls program1 & waits 10 seconds before calling next app
objShell.Exec "C:Program Filesprogram1 folderprogram1.exe"
Wscript.Sleep 10000
'Calls program2 waits three seconds then quits
objShell.Exec "C:Program Filesprogram2 folderprogram2.exe"
Wscript.Sleep 3000
WScript.Quit