The first thing to do is create a new shortcut on the desktop. Select any file for the target, and under the name of the shortcut, use the trick to add a blank space for the filename (ALT+0160 on the keypad -- making sure NUMLOCK is on). Then click finish.

Next right click the file and choose properties -- change icon. You should automatically be browsing the windows\system32\shell32.dll folder. About 1/4 down the list, choose one of the blank icons (or another icon you may want to use). Then click OK. You can also remove the target. You now have a completely blank icon on the desktop.

Now just drag the blank icon to the XP start menu and you now have a seperator.