2000/XP/VISTA Only
The easiest way to do this in 2000/XP/VISTA is a 2-step process. 

- First, right click on the Windows Explorer icon found in Start>All Programs>Accessories and select ‘Send to’ and choose Desktop.  The shortcut will show up on the desktop. 

- Now just drag and drop onto your quicklaunch section of the taskbar.

WIN7 Only
Windows 7 uses a hybrid taskbar/quick launch arangement, and it is much easier to get shortcuts on the taskbar. 

- Simply right click on any application in Start>All Programs and select “Pin to Taskpar”

In the latest versions of Windows, The folder that is initially displayed when Windows Explorer starts is “My Documents”.  To change this:

- Click on Start, find the explorer icon and right click on it.

- Select properties, and make sure that the Shortcut tab is selected.

- In the Target box, type the following: 

 c:\windows\EXPLORER.EXE /n, /e, c:\myfolder
  (where c:\myfolder is the directory in which you want Explorer to start.)

- If you want to start with My Computer, change the Target string to:

 c:\windows\EXPLORER.EXE /n, /e, /select, c:\