I found this in a few different places around the 'net - hopefully it's helpful:

Customize the Taskbar

With Windows XP, you can customize your taskbar so you can do everything from one place, including start programs, view documents, and surf the Web. Simply right-click the background of the taskbar, point to Toolbars, and then click the toolbar you want to add: an Address bar, a Links bar, a toolbar containing all items on your desktop, or the Quick Launch bar.

You can also create your own toolbar from any folder. To create a toolbar from a folder:

• Right-click the background of the taskbar, point to Toolbars, and then click New Toolbar. Navigate to the folder you want. A toolbar containing all items in that folder will be added to your taskbar.

You can drag the new toolbar to any location on your desktop. You can also easily remove a toolbar from the taskbar by right-clicking the taskbar and then clicking the item again to remove the check mark.