Ok great, can you update your signature with that? 4.1 is not specific enough, as things vary drastically from one version to the next.
To add an item below the Speed Bar, open up skin/admin/menu_admin.tpl. You'll see the speed bar link towards the bottom of the file:
<a href="{$catalogs.admin}/speed_bar.php" class="VertMenuItems">{$lng.lbl_speed_bar}</a><br />
Just add your link below that.