Internet Explorer 9 introduced the feature of pinned Websites (http://windows.microsoft.com/en-US/windows7/pin-a-website-to-your-taskbar)
Is there any possibility to have the same effect with IE8?
Without third party software, no.
Technically, it is possible though. If you know C++, you can take advantage of the Taskbar's APIs to duplicate this functionality.
techie007's comment does warrant repeating. Why not use IE9? All the cool kids are doing it.