This is quite annoying. You have the pinned item in your jump list on Windows 7 or 8.x and the original item has been removed. You had previously stored the shortcut in some folder on the desktop (in my case the folder was named BAZAR).
But then I had removed the folder when cleaning my desktop. It can also happens if you have pinned an item which was residing on a removable drive. You can’t unpin it from the jump list any more. You’re stuck with it, unless you apply this solution.
In my example it’s an RDP connection to my Veeam backup server, but it can be any shortcut to any application OR shortcut to a folder.
How to delete this pinned item from Jump list?
Open start > execute and > type this
Then you’ll see a list of not really readable files, but you can open them in Notepad (if there is not many).
When deleting all you’ll of course loose all your pinned items, but it’s probably not so long to recreate anyway….
I found help in MS Technet forum here.