Thought this might be helpful for anyone else going batshėt trying to figure it out.
I was fighting like crazy to pin a shortcut to a folder where I keep all my installation files. I used what seemed like 20 tricks to pin a folder to my taskbar. Finally I figured it out... I guess windows 7 has a security feature that prevents pinning anything with the word "install" or "setup" in it. Once I renamed the shortcut I was pinning, it was fine. I had to settle for the pinned shortcut being called "Inst" (but at least I didn't have to rename the Installs folder to something less familiar).