If you are missing the option to Pin to Start menu in Windows XP or Windows Vista, try the following steps:

1. XP: Click Start > Run and type regsvr32 /i shell32.dll then press Enter.
Vista:

• Click Start > All Programs > Accessories.
• Right-click Command Prompt and select Run As Administrator.
• At the Command Prompt, type: regsvr32 shell32.dll

Now see if Pin to Start menu is back. If not, proceed to #2.

2. Download and run pinmenu.reg to import the settings into the Registry. Restart the computer and check if the option is in your menu now. If not, proceed to #3.

3.

• XP: Click Start > Run and type regedit and click OK.
  Vista: Click Start, type regedit and open the Registry Editor.
• Click the plus sign next to HKEY_CURRENT_USER (may also be under HKEY_LOCAL_MACHINE)
  then Software
  then Microsoft
  then Windows
  then CurrentVersion
  then Policies
  then click on Explorer
• Look for a value named NoStartMenuPinnedList and delete it if it exists.

Close out of the Registry Editor, restart and give it a try. Hopefully these steps brought back the option .