Anonymous bemoans the fact that pinning programs to the Start menu (in Windows XP) actually pins the shortcut rather than the program itself. This means that if you right-click on a shortcut to pin it, then delete the shortcut, the pinned item stops working. How do you pin the program directly?

You pin the program directly by right-clicking on the program directly. If you right-click on a shortcut and select Pin to Start menu, then you're pinning the shortcut. This is sort of obvious, because after all, that's what you right-clicked on. If you want to pin the raw program, then dive into the Program Files folder and right-click the EXE and select Pin to Start menu. Now you pinned the program executable rather than a shortcut.

The Windows XP Start menu behaves this way instead of tunnelling through the shortcut to the executable because the shortcut itself contains valuable information such as name, command line parameters, hotkey, working directory, and icon. If you have a shortcut called "Development command prompt" that has custom console colors and runs CMD.EXE with a working directory set to your development tree and with a special startup batch file (via the /K command line switch) to set up your environment variables, and you right-click on that shortcut and selected Pin to Start menu, then you would probably be upset if the thing that actually got pinned to your Start menu was a boring CMD.EXE command prompt with no options and no customization.

"It would be nice if Windows were a bit more intuitive about this."

Anonymous didn't provide any specific suggestion as to what would be more intuitive. Pinning the executable and throwing away the shortcut properties is definitely not intuitive.

The Windows 7 folks thought about this and came up with something that hopefully meets the a bit more intuitive criterion: When you pin a shortcut to the taskbar or the Start menu, they make a copy of the shortcut and pin the copy.