That would indeed require 3rd party addons. Classic Shell doesn't have it if I remember correctly, but I do believe there are some themes on
http://www.VirtualCustoms.net of which incorporate that feature into the start menu, however, the downside is that it would be done through StartIsBack instead of Classic Shell. I've seen it done on a few of the themes they provide. However, do remember, the themes they provide are complete UI themes. Meaning that if you don't follow the instructions completely and use the proper software, you're either not going to succeed or are going to mess up somewhere. Also, you'll need either UltraUXTheme Patcher or UxStyles to be able to use them. Personally, I prefer UxStyles, it enables 3rd party themes without having to patch your system.