After you do that, click Select Folder. A link for the Quick Launch bar will be added to the taskbar. It will be on the right of the taskbar, just to the left of the Notification area.
It's not particularly useful docked all the way to the right with no application icons showing, so we're going to have to do a bit of work on it to make it useful. Right-click the taskbar and, in the pop-up menu, remove the check next to "Lock the taskbar." Now right-click Quick Launch and remove the checks next to Show Text and Show Title.
Once you've done that, drag the vertical triple dotted line next to the Quick Launch bar to the left until you expose its icons. To prevent further changes, right-click the taskbar and check Lock the taskbar. You can now use the Quick Launch bar as you could in Windows XP and Vista, including adding icons to it and deleting them.