With the IE9 betas beginning to come out, Microsoft have introduced an interesting new feature they're calling [pinned sites][]. For more details about how it works, you can check out the [Ars Technica preview][ars preview]. Essentially, you put several ms-vendor specific meta tags in the html of your header that describe the menu. The example given on the Ars preview uses this markup:
<meta name="application-name" content="Ars Technica"/>
<meta name="msapplication-starturl" content="http://arstechnica.com/"/>
<meta name="msapplication-tooltip" content="Ars Technica: Serving the technologist for 1.2 decades"/>
<meta name="msapplication-task" content="name=News;action-uri=http://arstechnica.com/;icon-uri=http://arstechnica.com/favicon.ico"/>
<meta name="msapplication-task" content="name=Features;action-uri=http://arstechnica.com/features/;icon-uri=http://static.arstechnica.net/ie-jump-menu/jump-features.ico"/>