I don't believe that you can boot BeOS by double-clicking on an icon in Win2k. I don't even think this is possible with R5 personal edition (the "cheapy" version as you put it..).
However, You can quite happily use a boot manager, I know for sure that BeOS comes with it's own boot-manager, and gives you the option to install it at the end of the installation of the OS (the purchasable version's install, at least). This will enable you to choose between OSes when BIOS loads up the Master Boot Record. Win2k also comes with a boot manager, though I hear it's fairly difficult to setup with BeOS.
You might wish to take a look around some of the BeOS sites for this sort of stuff. I'd personally recommend taking a look at
http://www.betips.net.
Hope this helps.