I'm running Windows 7 enterprise and when I try the drag and drop method I get the red no
entry sign... I have pinned a few things to it from the Frequent list... but not sure how
that gets populated.
Also running Windows 7 Enterprise here. I have had the same problem intermittently and have some solutions that worked for me:
I noticed a 'bug' with the taskbar when both Windows Explorer and a shortcut were pinned simultaneously. It treats the shortcut as a windows explorer icon, so when I attempt to drag & drop a folder to pin it, it says "Pin to {sortcut_name}" instead of "Pin to Windows Explorer".
Removing the shortcut then repeating the procedure works, until perhaps when (1) that shortcut's properties are edited from within the taskbar by a user. The property change will not propagate to the shortcut on disk and windows will treat the shortcut as an Explorer icon.
(1) kind of a guess for now