If you modify the shortcut in the Start Menu (Start > Programs > Accessories > Calculator) with the keyboard shortcut Ctrl+Alt+C, then it will be active as long as the Start Menu is loaded. Or, do as you did before, but move (drag) the shortcut from your desktop to your preferred location within the Start Menu, or the Quick Launch toolbar on the Taskbar. The way Microsoft designed the interface for Windows 7, you can launch the calculator and while its taskbar button is displayed on the taskbar, right-click the button and select Pin to Taskbar. A third method is to navigate to the shortcut in the Accesories menu and right-click it, then select Pin to Start Menu, or Pin to Taskbar. The latter two methods keep the launch button on the Taskbar or Start Menu even when the application is closed. You can assign it a shortcut key before or after you pin it to either location.
Hope this helps.