Applications that reside on the network (e.g. \\server\dir\app.exe) usually can't be pinned on the taskbar in Windows 7, due to restriction posed on you by Microsoft. The options for pinning just are not present, even when you first create a shortcut to the app.
A simple solution is to fool Windows 7 that the app resides locally. In short, this is done by pinning a local app (say, Calculator), then changing that shortcut to point to your network app.
I have not tested it with UNC-paths, so if you're using that, it might not work. In that case, first map the UNC to a drive letter, then change the shortcut to point to the app through the mapped drive.