"Pinning web sites to your taskbar" - sounds like an odd sentence. What does it even mean?
Well, typically your taskbar in Windows 7 or Windows 8 contains shortcuts for frequently launched programs. You can do the same with websites, and get some extra functionality when you do.
Below, for example, is a snippet of my taskbar that includes Pandora, my accounting web site home page, and Grooveshark's website:
You can also drag the wee icon immediately to the left of the website address in the address bar, if dragging the tab doesn't feel right:
To unpin the website, right click on the icon and choose "Unpin...".
Check out this Windows help page that has a brief video explaining how to do it by dragging the tab.