Perhaps I don't understand the original question, but if I read it literally, I already do that just with Windows. Right click on the desktop and select "New Folder". Put any number of icons (shortcuts) within it. Change the view to icon view (if you like pictures). That's it. All your shortcuts inside a folder.
For an added step, you can then MOVE your folder down to the task bar quick launch area. To do this, you have to RIGHT click and HOLD, drag the folder down over the quick launch area (the one next to the START button), look for a black vertical line/bar and then release it. The reason to look for the bar (may need to move left or right a little) is so that you don't drop it into another program. When you release, a menu will pop up asking if you want to copy or move. Select MOVE.
To add new items after moving to the quick launch area, just open it first.
This way, the folder is accessable even when other programs are running, without any need to minimize, etc.
If you don't have a quicklaunch area, you can right click on the bottom taskbar, go to "Toolbars", and click to enable it.
