I want to add custom jump list entries to my application in Windows 7.
The menus I am referring to are the following.
Pin a application to the task
For .Net code, there are some good example and libraries in the Windows API Code Pack
The Samples\Shell\TaskbarDemo specifically deals with the TaskBar APIs and shows how to do Jump Lists and control the icon.
Not sure if it has any examples of custom actions like Media Player.
The Windows Team Blog has some articles about Jump Lists and other new Windows 7 Shell features:
Those are geared towards C++ applications, there are also managed code APIs which package those in a way a little easier accessible to .NET developers.