Goto the site you want to pin.

Click on the three dots in upper right-hand corner of browser window.

Click on More Tools, then click on Pin to Taskbar.

You'll then receive a notification asking if you want to pin to taskbar, Press yes.

Thats it.

If you have notification disabled/turned off, you won't be prompted to add, so it doesn't work.

Make sure notifications are enable if it doesn't work.