Internet Explorer has a feature, and that is, it lets you pin the shortcuts to your favorite websites easily to your Windows 7 taskbar or Start Menu.
Pin website shortcut to Taskbar & Start Menu
To do so simply open your favorite website in Internet Explorer and drag-and-drop the website’s favicon which appears in the One Box (The official name for the new IE address bar is One Box) to your taskbar or to the start menu via the start orb.
You will notice that when you open the website using this shortcut, you will see that the color of the navigation buttons (arrows) change to ‘match’ that of the favicon’s colors!
When you drag TheWindowsClub favicon to your taskbar, you will see a customized jumplist.
Pinned websites is a cool new feature in Internet Explorer, as it allows sites to perform and act like local Windows applications.
Also see BuildMyPinnedSite wizard from Microsoft.