One way to do this, I believe, is through the Option Inspector.
Open the Option Inspector and set its scope to Global. Then under "Global Options>Menu settings" click on the editing icon to the right of the NotebooksMenu item. This brings up a dialog. If the file you are interested in pinning to the menu is there then click on it and select "Edit..." and uncheck the "Recycle menu slot automatically" for that item. If the item is not already in the list, then first use the "Add..." button to place it in the list and then follow these instructions.
