NSIS - shortcut on the left side of the launch menu
There is no official (i.e. supported and more or less guaranteed to work in the future and future versions of Windows) way to do this (in general, not only with nsis - the nsis part is the easy part of the question), see http: // blogs .msdn.com / oldnewthing / archive / 2003/09/03 / 54760.aspx .
However, pinned entries are stored in a binary block in the registry at HKEY_CURRENT_USER \ Software \ Microsoft \ Windows \ CurrentVersion \ Explorer \ StartPage \ Favorites. Other people have done what you are trying to do, see for example http://groups.google.gm/group/microsoft.public.platformsdk.shell/browse_thread/thread/c11161e983dd8a32 but I don't know anyone that would do the code available to parse this binary blob. Depending on how committed you are to make it work, you can do it yourself.
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