Do you know the awesome looking form of Windows Live that asks you for your cerdentials?
Gmail Notifier has it too, somehow.
Is there any way I can invoke something like this in my application?
BEHOLD!

I wish to use this dialog for local authentication on a desktop app.
You could look into calling
CredUIPromptForWindowsCredentials:From MSDN:
But there is more to this than simply displaying the dialog and recieving / acting on input – you’ll most likely be required to register an authentication provider on the system, among some other things I’m not entirely competent with explaining in any detail! Might give you a decent starting ground though.
UPDATE:
Oded compensated for my laziness and supplied the pinvoke.net link displaying definitions for this to be used in a managed environment:
CredUIPromptForWindowsCredentials PInvoke.NET Link