Disappearing Windows Explorer pinned items
Solution 1:
I have this happen all of the time, but perhaps Windows removes these during routine "Computer Maintenance".
Try disabling "Computer Maintenance" in Control Panel > System and Security > Troubleshoot common computer problems* > Change settings [left pane]
. (Set "Computer Maintenance" to Off.)
* - Words may have changed. Could also read "Find and fix problems", etc.
I took these instructions from "Method 2" in Microsoft KB978980, but posted them here since I could see Microsoft removing these instructions if too many people realize "Computer Maintenance" causes problems.
Solution 2:
Its a corrupted user profile - I recently had the same issue, and resolved it by following this.
http://windows.microsoft.com/en-US/Windows7/Fix-a-corrupted-user-profile