The Pin to Start menu command in your right-click menu is used to add a program or its shortcut to the "Pinned Items" list in Windows XP Start menu. If this context menu option goes missing in your system, here is a simple command-line fix to restore it.

Restore the Pin to Start menu option
From an administrator account, click Start, Run and type:
(Ref my original post: Pin to Start menu not available)
Press {ENTER}
You should see the following message:
DllRegisterServer and DllInstall in shell32 succeeded.
[See Also] How to add "Pin to Start menu" option for folders in Windows XP/Vista
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I haven’t used this before so don’t know if I am proceeding correctly. I have tried the above solution to restore the pin to but it hasn’t worked. Tried three times. I have also tried to add a sub-key in regedit.exe. Any other ideas? If anyone reads this – many thanks.