The shortcuts created in the start menu have no "start in" property, so each executable thinks it resides in the start menu folder since that's where you are starting the program from. This makes IE 3.0 save a bunch of data files to the start menu. You need to set the "start in" folder (aka "run in") folder to the installation folder of each browser, ie for IE 3.0 it would be:

Target: "C:\Program Files\MultipleIEs\IE3\iexplore.exe"
Start in: "C:\Program Files\MultipleIEs\IE3\"

also, the "MultipleIEs on the Web" shortcut in the start menu needs updating to this new location for the program.

Thanks a lot for creating MultipleIE, it has helped me create a super compatible site!