I just looked it up, and the way I do it is the right way. Windows 10 can be pretty slow to actually pick up the changes, though. It may require logging out and back in, or a restart.
Question: Do you and your brother use the same login? This will make a difference. There is both a common start menu area and a per-user start menu area. If you two use different logins, just move the games to your per-user start menu area and they won't be visible to other logins. If you share a login, you will have to stick them in an un-appealing looking folder, or remove them from the start menu entirely and navigate to the game executables where they are installed to run them.
The start menus are in folders. Before Windows 10 you could have...