This feature existed in Windows since Windows 98 and was axed in Windows 7 in order to "promote" pinned taskbar applications, which was one of the reasons for me to ditch Windows 7+ altogether.
How it works (Windows 98 - Windows Vista):
- Create new directory and put desired .lnk (or any other, even complete executable, batch, image, textual - you name it) files inside
- Drag the directory and drop it to one of the corners of Desktop
- Now you have a custom launch bar, which can be unpinned/placed to any side of the screen and/or further customized with simple drag-n-drop operations
- Instant access to any frequently-used application, batch script or document with a single click
- Complete customization with familiar file operations, no third-party software required
- Support for classic Start-alike dropdown menus
Please don't repeat the same mistake Microsoft did, implement this wonderful feature.