I am developing WPF application and use Visual Studio setup project to install it. I would like to pin shortcut of the my application to the start menu of Windows 8/10 during installation. Is it possible to do it programmatically with custom actions or by running some script?
This is not possible. The user "owns" the start screen and must pin items to the start screen manually. You can add your application to the all programs section but not the start screen.
See this discussion: http://answers.microsoft.com/en-us/windows/forum/windows8_1-performance/how-do-i-automatically-pin-an-application/4f2cff6d-7fc4-4448-99e3-5143c61a4fe0?auth=1
and this one: How to create a tile on start screen in Win8 automatically?