What you need to do is register Sigil as a program that can open .epub files. The easiest way to do this is to right-click an epub, select 'Open with...' and 'Choose default program..' and then browse to the Sigil .exe in the dialog that appears (uncheck 'Always use the selected program..' if you don't want to change what happens when you double-click an ePub). I have jump lists working with Sigil without any problem.
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