Assuming you already have a Desktop icon for the program...
Using the right mouse button, drag the desktop icon from the desktop
to the Task Bar's Quick Launch toolbar (just to the right of the Start
button) and release. In the pop up menu, choose to make a shortcut
there or copy if it was already a shortcut on the desktop.
I've dragged shortcuts to the quick launch bar a 100 times and have
never had it pop up any menus, it just creates the new icon on the quick
launch bar with no fuss at all. Just drop it and forget it.