If you drag a object and drop it onto a taskbar button, you get an error message that says,
You cannot drop an item onto a button on the taskbar.
However, if you drag the item over a button without releasing the mouse button, the window will open after a moment, allowing you to drop the item inside the window.
Why doesn't the taskbar let you drop directly onto a taskbar button?
Read this issue of the oldnewthing for a discussion. (Though there's no answer to the question besides "it's not possible", some explanation of why it would have been difficult, and a guess as to why it wasn't made possible.)
This is something that bothers me occasionally, and I've seen people struggle with it as well since it seems the "obvious" thing to do, often.