Shortcuts, specifically Command Prompt and Windows Explorer, in the "Pin to Start Menu" area of the Start menu produce the following error message:

"The item you selected is unavailable. It might have been moved, renamed, or removed. Do you want to remove it from the list?"

Windows Server 2003 (original)
The shortcuts are missing from the "%USERPROFILE%\Start Menu\Programs\Accessories" directory. They are usually copied from "C:\Documents and Settings\Default User\Start Menu\Programs\Accessories" on profile creation.

This has been known to occur when a terminal server is in install mode and copies shortcuts to All Users Start Menu instead of to the users' individual start menu.

There is a hotfix available:
13-Aug-2003 00:37 5.2.3790.77 24,064 Userinit.exe

Terminal Server Remote Session Unexpectedly Runs in Install Mode
http://support.microsoft.com/kb/826821


Windows Server 2003 SP1
"HKEY_CURRENT_USER/Software/Microsoft/Windows/CurrentVersion/RunOnce"
Value Name: - TSCUninstall
Value Data: - "%systemroot%\system32\tscupgrd.exe"

This key is responsible for removing any Pre-XP versions of Terminal Server Client software. This is a by-design feature. The first time the user logs on, the TSCUPGRD.EXE executes (since it’s a part of the Runonce key) Under Administrator login, this key causes the Terminal Server to Switch to Install mode. Under a regular user login (Non-Admin User), the TS does not switch to Install mode as users do not have the rights to do this.

This should be removed form both the .DEFAULT registry key (HKEY_USERS\.DEFAULT\Software\Microsoft\Windows\CurrentVersion\RunOnce) and from the Default User profile (C:\Documents and Settings\Default User\NTUSER.DAT).

This can be automated with:

@Echo Off
SET LoadKey=DefaultUser
REG LOAD HKU\%LoadKey% "D:\Documents and Settings\Default User\NTUSER.DAT"
REG DELETE HKU\%LoadKey%\Software\Microsoft\Windows\CurrentVersion\RunOnce /v tscuninstall /f
REG UNLOAD HKU\%LoadKey%
REG DELETE HKU\.DEFAULT\Software\Microsoft\Windows\CurrentVersion\RunOnce /v tscuninstall /f

Further Information:

After deleting the "TSCUninstall" value, the check for pre-XP versions of Terminal server client does not happen. This may cause issues as in Windows XP Service Pack 1 (SP1) and Windows Server 2003, the permission on "HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\MSLicensing" and its sub-keys have been restricted to administrator only. If using earlier versions of Terminal Server client or Terminal Services client (versions 4.0 or 5.0), you must have the appropriate permissions to write to and modify this value. To work around this behavior requires to either be a member of the local Administrators group on the client computer or to be granted Full Control permissions for the MSLicensing key.

HKEY_USERS\.DEFAULT
At boot time, the registry will load %windir%\System32\Config\default.dat under HKEY_USERS\S-1-5-18 and create a link from HKEY_USERS\S-1-5-18 to HKEY_USERS\.DEFAULT. HKEY_USERS\.DEFAULT and HKEY_USERS\S-1-5-18 will be one and the same. This ensures that there is no window for HKEY_CURRENT_USER inconsistency in the context of the system's credentials.

S-1-5-18 = SID of default user.

.DEFAULT, which stores the profile used when no users are logged on to the computer (such as when the CTRL+ALT+DELETE logon prompt is displayed).