By default, Windows 7 shows three icons pinned to the taskbar: Windows Explorer, Windows Media Player, and Internet Explorer. But you can move and remove (unpin) these shortcut icons. Pinned programs are the descendants of shortcut icons in the Quick Launch area of the taskbar, which existed in Windows XP and Windows Vista. To remove an icon from the taskbar, right-click on it and choose "Unpin program from taskbar". To move an icon, click on it, hold the mouse button down, drag to a new position, and release!
There are three easy ways of adding a program icons to your taskbar. The first one: open the start menu, start typing the app's name until you see its shortcut appear in the search results. Right-click on it and pick "Pin to Taskbar" from the context menu. (The "Pin to Start Menu" option adds that program's icon to the top of your start menu, so you don't have to hunt for it to launch it.)
Second method: launch the program. When the app is running, its icon shows up as a taskbar button. Right-click on it and choose "Pin this program to taskbar". From now on, its icon will remain in the taskbar, even after you exit that program. It will also keep its position in the taskbar. If "unpinned" applications were launched before you pinned that program, their icons will disappear from the taskbar as soon as you close them - no empty spaces!
Third way: drag a program shortcut from your desktop or a folder in Windows Explorer. Drop it onto the taskbar once you see the "Pin to Taskbar" tooltip. This only creates a copy of your original shortcut, it doesn't move it. I use small taskbar icons; yours are probably much larger than the screenshot's ones!
You can change the order of your taskbar icons just by dragging them left or right. You'll see a vertical guide indicating where the icon will be placed once you release the mouse button. Let go once satisfied. The order matters, because it determines the keyboard shortcut to launch each pinned app. Hold down the Windows logo key and hit 1 to launch the first program on the left, the 2 key to launch the second, and 0 (zero) to launch the tenth pinned app!