I have seen this problem with Office 2007 on Windows 7. One cannot pin Microsoft Office documents and their previously pinned documents disappeared.
To fix this issue follow these steps:
1. Unpin the application from the Taskbar that you are having this problem in by right clicking on the application icon and then selecting Unpin from taskbar
2. Click on Start => Run. In the run box copy and paste this path, %AppData%\Microsoft\Windows\Recent\AutomaticDestinations, here you will see a whole bunch of automatic-destination files. Open each file in notepad to see the content to determine which one is associated with the application that you are having an issue with. When you open this file you will see some jumbled text but you should also see some paths and file extensions which will tell you which application is the file associated with. After you find the correct file that is associated with the application that is giving you trouble, delete the file
3. Re-pin the application to the taskbar
The problem should be resolved.