This menu will also show if you have more open apps than your taskbar has room to show and several of those apps are instances of the same program.
If you have, as Snowman says, checked the option "Group similar taskbar buttons" and for example you are looking at several different web pages at the same time in different instances of IE, all those instances will be grouped together under a single "Internet Explorer" taskbar button - click that button to get a menu of the all instances of IE that are running.
If you don't skin this bit then someone is bound to come across it and, unfortunately, they might give your skin a lower rating than it deserves - there are some pedantic skinners out there! I'd skin it for completeness.

There are only 2 items, menu background and menu item, and you can always reuse the background and item from one of your other menus instead of drawing new ones. Check the number of item states for each image though, I can't remember if they are the same as the normal menu images.
Keep on skinnin'