I have written a script for a Russian install. Unfortunately, he doesn't create me any folder in the start menu.
I test the setup on a German Windows - code page / language settings in Windows are changed to Russian.
Cyrillic text means there are cyrillic signs
CreateDirectory "$SMPROGRAMS\Cyrillic text"
CreateShortCut "$SMPROGRAMS\Cyrillic text\Cyrillic text.lnk" "$INSTDIR\start.exe"