Thought I'd let people know how to fix this problem in case anyone else will have this issue in the future or if someone finds this post through google.
Solution: Favorite/Bookmark the websites that you pin to your task bar and you will no longer have this problem.
Boring Details: Hey brian, Just thought i'd let you know I got it to work. I went ahead and upgraded my OS to Windows 7 Pro and I thought I'd save all my pin websites to my favorite/bookmark list. After the upgrade I went ahead and start to pin all the websites I added to my favorites and started to remove my bookmarks 1 by 1 as they were pin to my taskbar. I accidentally forgot to remove 1 bookmark and cleared my internet history. Then I started to open up all my pin websites 1 by 1 and they are still had the same problem of not saving the cache icon beside 1 website which no longer had the problem. I looked into why that only pin icon was saving the image and after a few minutes I seen it was still in my bookmarks. lol .... I added all the pin websites to my bookmark and they all work perfectly now.
PS. Thanks for all the help brian and sorry for the typos in this post. I'm typing this quickly since I have to get going to work in a few.