1. Create a folder (anywhere except desktop). Name it whatever you like.
2. Cut and paste desktop shortcuts to the folder created in first step.
3. Create shorcut of this folder on desktop.
4. Drag folder shortcut to either the left side or top of your screen, and let it go. Voila! - you’ll have a new toolbar on the edge where you dropped the folder shortcut. Once new toolbar is created you can delete the folder shortcut.
Note:
1. You can create up to three attached toolbars.
2. You can create any number of floating toolbars (unattached toolbars: can be created by dragging attached toolbars on desktop). Autohide feature cannot be used for these toolbars.
3. Some icons, like My Computer, My Documents, Recycle Bin may not allow you to move them. Drag these icons on new toolbar then remove them (My Computer, My Documents) using Display properties options. You can remove/hide Recycle bin by hacking registry.