In Windows 7 and 8, all the windows of every application are by default automatically grouped into one icon on the taskbar. This happens even when there are two instances of the application running i.e. it's still one icon. When you click on that icon, you can choose which window of that application you want to change focus to.
Some would argue that it is easier and better UX that every window gets its own icon on the taskbar, which is possible in Windows by changing a setting. What is the best way to go?
From my perspective, it is a trade off between clarity vs performance (number of clicks). Which is the most important here?
Note: This is merely about the icons, I would prefer if you base your answer on the idea that the labels are NEVER shown on the taskbar (even though that's not true in Windows).