I was having the same problem, I stubled across a different forum. http://social.technet.microsoft.com/Forums/en/w7itproui/thread/c17f641c-4e0d-41aa-8bed-e8f049c5f414
Sounds like some guys did not have luck but it worked for me. The only thing is that I had to do it 2 times.
1. Right click on the start menu and select "Properties".
2. Under "Privacy" - Uncheck both "Store and display recently opened programs in the Start Menu" as well as "Store and display recently opened items in the Start menu and the taskbar".
3. Select Apply and OK.
4. Right click on "Windows Explorer" icon in your taskbar.
5. Select unpin from this list on the item that is stuck.
6. Repete steps one and two (only make the check boxes checked again).
7. Select Apply and OK again.
NOTE: At this point the item came back for me.
8. Right click on "Windows Explorer" icon in your taskbar again.
9. Select unpin from this list on the item that is stuck again.
I hope this helps someone out. It worked for me. But as I said it sounded like it might not have worked some others on the other forum.
Tags: Unpin Windows Explorer jump list, Can't unpin Windows Explorer jump list, Windows Explorer jump list problem, NAS item Windows Explorer jump list