I don't know of any way to remove icons from explorer components, but you can use one of those tweaking programs to increase the size of your icon cache. Here's a script that adjusts the registry value:

http://www.kellys-korner-xp.com/regs_edits/iconcache.vbs

Or you can look at the key in the script and then change it manually with regedit. That should speed up the start menu once the icons have been loaded.