Hi DG pledge and congrats on your new sisterhood!
There are two kinds of "pinning" ceremonies. The first is what twigs344 was talking about, a formal sorority ceremony where you receive your pledge pin. (I think every sorority has something similar) You may have had an "informal" ceremony on your bid day and this is a more formal one.
The second kind of "pinning" is where a fraternity man gives his girlfriend his fraternity pin. By doing this, he signifies that she means as much to him as his fraternity. This ceremony is a very serious step in a relationship and second only to becoming engaged.
Hope that clears things up for you!
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