> folder), right click on a blank space, and go 'New'.
> The WinHTTrack Project entry is the one I mean, not
> the My Recent Documents entry in the Start Menu.
The recent documents popup and the new pop work the same way, they are
populated by Explorer when you use Explorer via Start. 

> What is the desktop toolbar anyway? Open WinHTTrack
> by Start Menu I understand, I have no idea what
> toolbar you are referring to though.
Right click on an empty part of the taskbar -> Toolbars -> Desktop. It will
create a small icon at the left end of the icons (on the right) with the word
Desktop. That menu gives you access to the desktop without moving/closing
current windows covering the desktop.