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

Sets item pinned state.

Parameters

nIndex	The item's index.
bSet	TRUE to pin the item, FALSE - to unpin.
bRedraw	Specifies whether a control should be redrawn.

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