The way I added a toolbar to the desktop is

1.     Create a folder on the server name it something like "Toolbar"

2.     On the computer you want the toolbar on, right click the "Taskbar"
select "Toolbars-New Toolbar..."

3.     Browse to the folder you created and select it

4.     Move that toolbar to the Desktop location you want it.

It can be set to the same settings as other toolbars (i.e. auto hide)

But thats just how I did it, there may be an easier way.

Define "links".  HTML links?  Shortcuts to EXEs?

Henry's got the right idea, but I'm wondering if there might be something
easier depending on what you want to have in that toolbar.

This is what I did to create a Office Toolbar ... the same can be done with
any folder with shortcuts in them:

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If you are talking about a Start Menu Taskbar toolbar:

1.  Right Click on empty spot of Start Menu TaskBar
2.  Click on Toolbars... | New Toolbar
3.  Navigate to your Office Installation folder, there should be a folder
name Office ## (don't know what number is for Office 2003 - 12? 13?)
4.  Under that Folder you should see another folder named Shortcut Bar
5.  Under that Folder you should see Office folder (or something that hints
that is the Office folder for the toolbar)
6.  Click on that folder name
7.  Click OK

Once the toolbar has been added, you can right click on it and set whether
you want Title and Text.

What I do is create another Folder under Shortcut Bar, named My Office Bar.
In that folder I place all the shortcuts I want for the Office Toolbar on
TaskBar.

Then I use that toolbar instead of Microsoft's version of the Office
Shortcut Bar.

Once the toolbar is created and setup as you like, you can grab the toolbar
from the TaskBar and drag it to some other side of the desktop edge.  When
you drop it, Windows will create a totally separate toolbar.

I have my Office Toolbar on the top of the desktop, Auto hide set on, and
Always on top On as well.
I also added the new Desktop Search bar along side of the Office icons.
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This can be done for anything.  Just create a folder (anywhere ... even on a
server ... but it would have to be up all the time), copy all the shortcut
links to that folder, and then use that Folder name as a New Toolbar.  You
can then place the toolbar anywhere on the desktop.