SP Jump List is a sandboxed solution for SharePoint 2010 that takes advantage of the jump list support added for pinned sites with Internet Explorer 9 and Windows 7. It automatically adds links from the quick launch of a site to the jump list when a site is pinned to the task bar
To install this solution simply upload the WSP file to the solution gallery (found by going to the site settings page and then to "solutions" under the heading "galleries", then for sites that you wish to enable the jump list on go to the site settings page, in to site features and enable the SP Jump List feature.
Installation and example video
See a video that takes you through how to install and use this solution. Check it out at http://www.screencast.com/t/MLsexoCqFu6