Unless I am very much mistaken (which is not at all uncommon) there's not (at least not an easy way) way to do what you're asking. Reason being that to put something into the Windows task bar requires that you be able to get hold of the Windows hooks that make it a task bar application, and those don't exist in Java.
I can tell you where in the Swing code you'd have to get hold of it though, and that would be in the JFrame's window listener for being iconified. But I don't know of a way to put it into the TaskBar the way you're describing. What you're asking for is a platform (very platform) specific thing that Sun understandably tries to stay away from.
PS.