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Instead of starting SSMS through Start->Programs-> or through a desktop shortcut, one can start the SSMS in a much faster way by

1. Start->RUN or WINDOWS key+R
2. Type SqlWb.exe for 2005 or SSMS.exe for later versions
SSMS Quick start2
3. Press enter and SSMS is opened up for you.

If you want to take this further by making use of more options such as to directly connect to the server by just mentioning server name like
SSMS Quick start localhost

If you like to know what other options are available, you can do that as follows.
SSMS Quick start options

this gives you a screen as below.
SSMS Quick start option list

Hope this helps…!