By default, you can't right-click > Pin a network based application to the taskbar.  The following is the workaround to make it stick.

1. Pin a local application to the taskbar, like Notepad. 
2. Right-click the taskbar icon and then right click the application in the pop-up menu > Properties
3. Change the Target to the appropriate application path.
4. Change Start in to the directory the application resides in.
5. Click Change Icon and browse out to the application's folder and select the application.  Click OK
6. On the General tab, Change the name as appropriate.
7. Click OK

Explorer may need to restart for the icon to change properly, but your shortcut should now work.