1) To lock the taskbar, right-click it and select "Lock the Taskbar".
2) If you're using Vista's standard Start Menu (not the Classic one), then
you can disable automatic sorting of the All Programs menu by right-clicking
the Start button, choosing Properties, and under the Start Menu tab next to
"Start menu", click the Customize button. You'll find the option there.
Also, from "Help":
"If you use a program regularly, you can pin its program icon to the Start
menu. Pinned program icons appear on the left side of the Start menu, above
the horizontal line. Right-click the program icon you want to pin to the
Start menu, and then click Pin to Start Menu."
But if you're using the Classic Start Menu, I think you're out of luck.
Unlike in previous versions of Windows, my Vista Biz automatically sorts the
"root" Programs menu no matter what I do. Submenus, however, work as
before. I'm puzzled by this.
3) You'll also find the option to display the Favorites list for both menus
by customizing from that tab.