I noticed a bit of a weird error with the Windows 7 start menu. Whenever you drag an item into the start menu that isn't an executable file or a shortcut to an executable, it will create an entry, but it doesn't give you the full range of menu options to unpin it when you right click it.
For example. I selected my address bar in Firefox and directly dragged the link in the task bar to pin a shortcut to the website. Here's the menu I get when right clicking it, as opposed to right clicking, say, the Media Center shortcut.
So as you can see, there's really no way to unpin the website shortcut from the start menu unless I take the easy route by manually reseting the taskbar's contents back to default.