I just did some googling and apparently a "jump list" is a new Windows 7 feature that lets you easily create shortcut links to darned near any system function, resource, or file.
'Course, we could already do most of that anyway all the way back in Windows 3.1, so i'm not sure what's so new about this feature.
My jumplist wasn't working for Vegas 11 either. It was working fine for V10. One thing I had not done was to allow Vegas 11 to be associated with .veg files. I dismissed the message that popped up each time I started V11.
On a hunch, I allowed Vegas 11 to be associated with .veg files and now I get a jump list for it. I suspect that this will affect the automatic updating of the jump list in V10, but haven't messed around with it yet to see if that is so.
Once the Vegas icon is on the taskbar then click and hold the icon and move it slowly upwards. The recent files will be dispayed. This works with any app on the taskbar. (win7)