I have not used windows 7 but I heard that it has good features of Jumplists and Pinning applications.

Can somebody guide me what are these features and is there any equivalent feature in KDE?

As I understand it, Jumplists are merely application-specific taskbar context menus. The idea has been debated and from what I understand the consensus is that the benefit is really minimal - not worth the effort and coordination required to implement (but do some searching around here for it - I'm sure there are more technical discussions about the merits and issues).
Pinning is just the action that tells the taskbar to keep the application's icon when it closes. There are a few different application launcher+taskbar widgets available which have this functionality (plus other cool effects). Just look in the application launchers category of the Add Widgets panel, try a few and see which one you like the best.

@airdrik: Thanks!