I have used Windows 7 and I am pretty sure this feature was there. So it must be in Windows Vista too.

I might be wrong though because its been years since I used Windows 7.

Now that I think of it, the Internet Explorer icon option was absent since Windows Vista's RTM version. Windows 7 was based on some build of Vista from after that point, so I don't think 7 ever had it. In fact, 7 removes the ability to even add the Internet Explorer icon via the Registry Editor.

I'm convinced that the image above is of a late beta version of Vista.

Yeah

By default, you're indeed correct Windows 7 does not have that option by default and it would look like this instead: