PuTTY Windows 7 jump lists won't work
- Right-click on the Start menu
- Select Properties
- On the "Start Menu" tab, in the Privacy section, enable "Store and display recently opened items in the Start menu and the taskbar"
This should do the trick.
I guess you have to open the saved session(s), and after that, the connections will apear in jump list.
That's how is working fro me.