Control Panel is in C:/Windows/System32 as control.exe:

http://donaldbroatch.users.btopenworld.com/control.png

Is control.exe where it should be? What happens when you click on it?

Have you got ‘Display control pane as a link/menu’ enabled? (Right click on Start>Properties>Start Menu>Customize>Advanced

http://donaldbroatch.users.btopenworld.com/customizestart.png