Quick Launch Toolbar

Install Service Pack 6 if you are using NT4.0, I believe that is the first NT platform update with the quicklaunch bar. I know SP 3 doesn't. Make sure you have all the latest updates installed as well.

I think you are looking for "active desktop"....

You can install it from Internet Explorer 4.x (look at the custom options and check active desktop features).

Or you can install it from Internet Explorer 5.5:

http://support.microsoft.com/search/preview.aspx?scid=kb;en-us;Q254919

If that registry key doesn't exist, then it means that IE was installed without the "desktop update" or one of the later versions of IE was installed that had it removed. In these situations I have either had to "force" install version 4.01 and then update it to the later version (which then retains the "active desktop"). The problem here is that it may require a manual removal of IE so that you can install the older version.
Per MS:
Installing or Upgrading the Windows Desktop Update
--------------------------------------------------
To install or upgrade the Windows Desktop Update, you must install Internet Explorer 4.01 SP2 before you install Internet Explorer 5.5

(If you can find an old OS or CD with IE4 on it, it's not available from M$ anymore)

Here's a link on removing and re-installing:
http://support.microsoft.com/directory/article.asp?ID=kb;en-us;Q165695

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