Navigate the categories of this menu by clicking on the bolded text or the folder beside the bolded text - this will expand the selected category.

The Favorites category consists of any menu item that has been pinned.   

You can see which items have been pinned throughout any category.  

Click the pin in order to add or remove the item from Favorites.

Examples:

Not Pinned
Pinned

This menu is designed to remember not only your Favorites, but it will also remember which menu categories you've collapsed/ expanded.  This means that your Client Menu will appear the same in any new window or tab that you open going forward.