Pin network shortcuts

I want to Pin a program to the taskbar that is on a network share. Example: \\server\share\application.exe
Windows 7 doesn't allow me to do this.
Is this a known issue?

You can do this by creating new toolbar

1. create empty folder (you can create it anywhere, i recommenced inside my document)
2. place all network shortcut you want inside that folder
3. Right-click on the start menu --> Toolbar --> new toolbar and select the folder you created
4. for better look right click on the toolbar (Between the icons) and remove show text and title if you want you can even make the icons bigger
7. unlock the task bar (right click --> lock the task-bar) and slide the toolbar the way you want it and lock it back