One of the best features of Windows 7 is its expanded taskbar functionality. So of course, shortly after its release, Steam patched their client to make their game shortcuts as URLS, which cannot be pinned to the taskbar. I love having all my games and my most used applications on my taskbar, so I was fairly annoyed. At first there were suggested solutions that involved making your own shortcuts and using some command line switches, but I have found a better and fuss-free way.
Simply start your game in Steam, alt-tab out of it, right-click the game’s icon, and then click Pin to Taskbar. That’s it!
In fact this method works for all games. Are you playing Vindictus and dislike the odd way they force you to log into their website to launch the game? Use this method to maintain your taskbar bliss.

Omg, yes. Yes, this. Thank you, because Vindictus DOES annoy me because I’m constantly having to go to the website and whatnot :\
You rule.
Thanks so much for this information! Worked like a charm. I hate desktop icons and love the new Windows 7 taskbar. It’s annoying that Steam creates these stupid locked files on the desktop so I’m happy there is a workaround.