How to add exe to start menu in Windows 10?

How can I pin arbitrary programs to my Start Menu?

I can't create a shortcut in C:\ProgramData\Microsoft\Windows\Start Menu\Programs; Windows says:

Can't create shortcut here; create on desktop instead?

I can't drag and drop it onto the Start Menu itself.

If I drag it onto the Start icon, it asks me if I want to pin it, but it doesn't do anything.

The C:\ProgramData\Microsoft\Windows\Start Menu\Programs start menu is for all users, and you will need administrative access to install anything here. Anything here will appear on the start menu all users that login.

Instead use the %appdata%\Microsoft\Windows\Start Menu\Programs location, which belongs to your user and no additional privileges are required.

If your program was installed "the right way", having a shortcut in "All apps", use ᔕᖺᘎᕊ's answer. If it is a simple exe file running without installation, why not simply right-click on the .exe file, choose "Pin to Start".

If you just want to pin a normal program to the start menu, you can simply:

Click the start menu logo > Click 'all apps' > Right click the program you want to be pinned > Click 'Pin to Start':