Gina, Right click your Start button, choose Properties and make sure that it's set to "Classic Start Menu", click Apply/OK. If it's set to "Start Menu" you won't get the "Settings" option.
I hope someone can help me because I am at a loss. The "Settings" option in my Windows XP Start Menu is gone! I have looked everywhere to find an option for getting it back there with no success. I have no idea what I could have done to make it disappear! Please help! Thanks.......Gina