I use Voice Command so I haven't tried that but I don't think it will do that as it comes. This probably fits into the category of changing devices and trying to mimic what your old device did. Often it's best to get a little used to the new device and see how it does things and also how other people get similar functionality. Personally I don't think putting your contacts in the Start menu would be an efficient way to go about it. Regular speed dial or Voice Command would be the way to go, IMO.

edit: "So, just to clarify you can put IE favorites on the Small Menu? " Yes