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I don't know how similar 7's explorer is to Vista/XP's, but you should be able to pin any file to the start menu by using drag-n-drop, as long as you haven't disabled that feature.
To do this, use explorer to open the folder where the file is, left click on the file's icon, and while holding down the left button, drag the mouse cursor to the start button. The start menu should eventually pop up and you should then be able to move the mouse cursor up into the start menu area and release the left button. At that point a new start menu entry should be added. You'll probably want to right-click and rename the entry to something more to your liking since it will probably be named the same as the .scr file.
This should also work for any file of any type. The pin to start menu menu option is only available to files with the exe file extension because that's what was set up in the registry by MS. But it doesn't prevent you from pinning any specific file type. It just doesn't make it as easy.
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