Putty update to 0.61 which includes JumpLists builtin, so this will no longer be maintained. I encourage you to use the official client when possible.
Recently I had the good fortune to upgrade my hard drive to 120GB and felt that while I'm reinstalling my OS anyway, I should update it to Windows 7. Why not, as it has been touted as the "fix" for Vista. And so far, months in, dozens of homework assignments, hundreds of odd tasks for different entities, it has exceeded my expectations.
Skipping all the Windows 7 stuff, I'll just skip to what I did.
The Jump List is what shows up when a user right-clicks on a taskbar item in Windows 7, so I modified PuTTY's source to enable JumpList functionality. On my main site, I have a binary and the necessary patch.
* Each session can add itself to the JumpList for PuTTY
* Upon startup, JumpList is created
* If user pins PuTTY to the Start Menu, JumpList remains
My main site has some further information, as well as the actual files.