You should be able to drag & drop the Press This bookmarklet from the Tools > Available Tools page to your bookmark toolbar (I believe it actually has to be in the bookmark toolbar, not the bookmarks -- make sure your bookmark toolbar is visible, then drag & drop it next to your other bookmark tools).
I just tested it (in Firefox 5.0), and dragging & dropping it worked fine. If you're using a different browser, make sure it's the most up-to-date version. You can go to http://browsehappy.com/ to check & update. :)
Here's the Support page about "Press This": http://en.support.wordpress.com/press-this/
I actually prefer the Firefox Add-on "Add This" to the "Press This" bookmarklet because it gives me other options in addition to the wp.com "press this" option, and I don't have to have my bookmarks toolbar visible (which I never use), since the "Add This" bookmarklet sits in the address bar of the browser, nice and small & handy.