Just to clarify: The four items mentioned by "BC_Programmer" (the ones you normally see on the "Send to" context menu) were all in C:\Documents and Settings\Pete\SendTo. When logged on as "Pete", I could see the items in the folder but they did not appear on my context menu. When logged on with my admin ID, I can see the items in each of the limited users' SendTo folders as well as in the administrator's.
When "patio" mentioned that it was a permissions issue, it rang loud alarm bells. With the benefit of hindsight, I should have thought of that before. I checked the access rights* and found that none of the limited users had any access to their own SendTo folder!! How that happened, I cannot imagine but I then gave each limited user full access to their own SendTo folder. This solved the problem and the context menus are properly populated for each user!!
*In case it helps anyone else, I did that as follows. Re-start in Safe Mode. Open Explorer and right-click on, say, ...\Pete\SendTo. Click on Properties and then on the Security tab. The next dialogue box looks a bit like CACLS but, being a GUI, is easier to use. In there, you can define what access each user has to the selected folder (or file). By the way, if you have XP Pro, you might wonder why I say start in Safe Mode. In XP Home, that's the only way to get to it.
So, very many thanks to "patio" for pointing me in the right direction and to everyone else who gave valuable contributions and suggestions. I would also like to thank everyone who was interested enough to read this thread. As I write this, it has been viewed far more often than many other threads!