Hi gmdewulf,
This is caused by a Policy restriction (if your system is in a domain, that explains it. If not, try the steps below):
Click Start, type Regedit.exe and press ENTER
Go to the following branch:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer
Delete the TaskbarLockAll registry value (if present)
Exit the Registry Editor.
If that does not help, check out URL Taskbar Toolbar options are grayed out?
Ramesh Srinivasan, Microsoft MVP [Windows Desktop Experience]