How to restore jump list for Windows Explorer pinned taskbar icon?
It turns out that it's some kind of obscure bug in Windows 7. The workaround is deleting the contents of the following (hidden) directories and then restarting:
- %APPDATA%\Microsoft\Windows\Recent\AutomaticDestinations
- %APPDATA%\Microsoft\Windows\Recent\CustomDestinations
After that, you'll have to re-add all your jump lists, as they will be empty.
Source: http://social.technet.microsoft.com/Forums/en/w7itproui/thread/8e3c2a80-392d-44e2-8b9f-6eb5deb9a1e1