Most of the things you describe (including the buttons on the preview window) are done using the ITaskbarList3 COM interface in Windows 7 and later.
There's a SO question about showing a progress bar in the taskbar; the two answers currently there have some relevant links, including some to examples and open-source Delphi components. Note that this may be much more difficult for you to implement with such an old version of Delphi; more recent versions have definitions and types already available for you in the RTL that simplify working with COM greatly.
As Remy points out in the comments, XE6 includes a new VCL component, TTaskbar (see note), that makes adding these buttons extremely simple. You just drop a component on the form, add the buttons using the TTaskbar.TaskbarButtons property editor, assigning a TAction and icon for each button, and you're done.
Note: The TTaskbar documentation link is void of meaningful content at this point, as the component is in the newly released XE6 (released this week). I'm adding it as a point of reference for future readers; hopefully by the time they see it, the link will have some useful details.