If you open up a folder frequently, you can add up the folder in taskbar.. It works in Windows XP itself..here is the procedure..
1. Right Click on the empty spot between start up icon and Taskbar
2. Click Toolbars
3. Click New Toolbar
4. Locate your folder and Click ok (if u want to minimise all your windows then select location as desktop).
If you want to remove the icon, right click on the space , go to toolbar and uncheck the corresponding folder..