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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After trying three different fixes (including these) with no luck whatsoever, the answer to the problem turned out to be absolutely simple: Just click through Start – Properties – Start Menu – Customize – Advanced and check the box for “Enable drag and drop”.
Hey, this is an absolutely delightful fix. A member of the help group I frequent recommended it. I’d posted a request for assistance that would be uncomplicated or require deep thoughts but that would get the job done. This fit to a T. Thank you!!
wonderful i am so much enjoying….thanx again..