BCGSuite for MFC
void CBCGPListBox::SetItemPinned ( int  nIndex,
BOOL  bSet = TRUE,
BOOL  bRedraw = FALSE 
)

Sets item pinned state.

Parameters
nIndexThe item's index.
bSetTRUE to pin the item, FALSE - to unpin.
bRedrawSpecifies whether a control should be redrawn.

You've to call EnablePins() to display the item's pin.