Make a directory for you shortcuts and icon like %HOMEPATH%\links
Create your shortcut in this directory and add a new icon.
The link will be stored in %USERPROFILE%\AppData\Roaming\Microsoft\Internet Explorer\Quick Launch\User Pinned\TaskBar
If there is no “Pin to..” entries you will have to prefix the target with
C:\Windows\System32\cmd.exe
in order to “persuade” Window to accept the link on startup and taskbar.
Start in: %HOMEDRIVE%%HOMEPATH%