Hi

How do I write a custom Internet explorer bar (like Favorites bar).
What is the step by step procedure for doing it (not bunch of links).
What technologies are used. Is it dotNet or COM. Please be specific
and to the point.

The underlying technology for developing explorer bars is COM.
Technically speaking it is a COM object, which implements a number of
interfaces, namely the IClassFactory, IDeskBand, IObjectWithSite,
IPersistStream and some other depending on your case.

Since COM interop is fully supported by dotNet it is absolutely
suitable for writing explorer bars. If you have no experience with C++
and ATL, then .NET is your best choice for developing such explorer
bar. The only step by step tutorial you really need to write one is:

http://www.codeproject.com/csharp/dotnetbandobjects.asp

AFAIK any language with sufficient support for implementing COM
objects may be used to write explorer bar. E.g. one which is not
suitable is VB6. C, C++(MSVC, Borland C++ Builder, etc), Delphi,
Delphi.NET to name few which are suitable.

The most common and the best way is MS Visual C++ and ATL. I can't
recommend using MFC, though it may be a lot easier with it. You may
try using WTL for implementing GUI for your explorer bar.

The two most useful sources of information about writing internet
explorer bars are MSDN and CodeProject. Though you have asked to not
give a bunch of links, you'll really need one:

http://msdn.microsoft.com/library/default.asp?url=/library/en-us/shellcc/platform/Shell/programmersguide/shell_adv/bands.asp

If you'll decide to use MSVC++ to write it, then install platform sdk
if you haven't yet. It includes some examples to which msdn
documentation refers.

I don't know exact steps to create it in Delphi or C++ Builder, but if
you need more information about doing it MSVC++ I may describe it in
more detail.

Good start. What are the steps for writing in VC++. That may atleast
help me to gain insight into the process involved even though I might
eventually decide to with dotNet/C#. (My VC++ COM/ATL is very rusty).
What is the best book that will jump start me in the right direction
with this stuff.

You can develop them in VB6, as I have done it. Yes you are right, any
language that can use COM you can use to develop them (VB6 does)