Like @Matt's answer, there is a complete example in the documentation of segmented:

################################################################
# ==> 3. segmented quantile regression via the quantreg  package
################################################################

library(quantreg)
data(Mammals)
y<-with(Mammals, log(speed))
x<-with(Mammals, log(weight))
o<-rq(y~x, tau=.9)
os<-segmented.default(o, ~x) #it does NOT work. It cannot compute the vcov matrix..

#Let's define the vcov.rq function.. (I don't know if it is the best option..)
vcov.rq<-function(x,...) {
  V<-summary(x,cov=TRUE,se="nid",...)$cov
  rownames(V)<-colnames(V)<-names(x$coef)
V}

os<-segmented.default(o, ~x) #now it does work
 plot.segmented(os, res=TRUE, col=2, conf.level=.95)