The idea is to allow players (and party NPCs as well) the choice between two types of offensae. So if you are playing a ranged archer but someone gets too close, you can switch on the fly to a sword & shield without needing to pause the game and go into the inventory screen. You still can do so if you wish, this just prepares something so you can keep going if you choose.
There are other items, like spells, grenades, potions, etc that can be stored in the quick bar (which is slightly different than the weapons slot, but works the same way), but you do not put "clothing" (armor, rings, belts, etc) in the quickbar.
Hopefully this is a little clearer now.