You cannot pin or unpin items using the Classic Start menu.
Are you using the Classic Start Menu or the XP Start Menu?
Look here...
http://www.kellys-korner-xp.com/xp_tweaks.htm
Read the instructions at the top.
160. Right hand side
Disable or Enable Pin to Start Menu - Right Click
Click on Enable
startmenupin.reg is the file that you want.
It's also a Group Policy.
<quote>
Remove pinned programs list from the Start Menu
Administrative Template: System
Policy Node: USER
Policy Path: Administrative Templates\Start Menu and Taskbar
Supported On: At least Microsoft Windows XP Professional or Windows Server
2003 family
Help/Explain Text: If you enable this setting, the Pinned Programs list is
removed from the Start menu, and the Internet and Email checkboxes are
removed from the simple Start menu customization CPL. If you disable this
setting or do not configure it, the Pinned Programs list remains on the
simple Start menu.
Registry Settings:
HKLM\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer
Value Name: NoStartMenuPinnedList
<quote>
http://www.boyce.us/gp/gpcontent.asp?ID=384