Pinning an item to Start menu helps you in accessing that item quickly and easily. By default Windows only allows programs or shortcuts to be pinned to Start menu. You can't pin a folder to Start menu. Reason? No reason. Weird? 100 %.
In this tutorial, we are sharing a very small and simple registry trick which can enable "Pin to Start Menu" option for folders as well so that you can pin them to Start menu without any problem as shown in following screenshot:

Simply follow these simple steps:
1. Type regedit in RUN or Startmenu Search box and press Enter. It'll open Registry Editor.
2. Now go to following key:
HKEY_CLASSES_ROOT\Folder\ShellEx\ContextMenuHandlers\
3. Under this key, create a new key with the name {a2a9545d-a0c2-42b4-9708-a0b2badd77c8}
4. That's it. Now press "SHIFT" key and right-click on any desired folder and you'll get "Pin to Start Menu" option.

5. If you want to remove "Pin to Start Menu" option in future, you can delete the key created in Step 3.
NOTE: If you want to remove the pinned folder from Start menu, you can right-click on the pinned folder in Start menu and select "Remove from this list" option. Alternatively, you can press "SHIFT" key and right-click on the folder in Explorer window and select "Unpin from Start Menu" option.
PS: If you don't want to do the task manually, download following ZIP file, extract it and you'll get the required registry script to do the task automatically. You just need to run the .REG file and it'll add the option:
This article was posted by VG in following section: Windows 7, Windows Vista, Windows XP.
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Pawan
This tweak is very nice If u added some new plz send at my email-id sahanipawan77@yahoo.com
lolly
there is an easy way to pin a folder to start menu w/o a program:
just drag the folder to the start orb then the folder will be pinned in the start menu xD
VanGuard
there is a more easy way than dis,
just drag the folder to the start orb nd it will automatically be pinned to start menu