The two events are likely unrelated... XP Start Menus always were a little, ummm, flakey?
Most likely Pelles C was/is installed in the user menu not the global one, so depending how you logged in you might not see it.
For starting C ... or for starting with Pelles?
For the former google up some tutorials and go through them page by page, do all the examples, all the tests, play with them, change them, make sure you understand them before moving on to the next...
If the latter Pelles C comes with one of the very best help files you could hope for... start reading.