I have just installed a program on my pc and after that, an animated arrow is appeared on the screen showing me a new element on the bar:

How can I create this animated arrow ? What API do I have to use ?
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It can be made with a window that has a custom shape. One of my colleagues documented how to do this in .NET here:
http://www.atalasoft.com/cs/blogs/jake/archive/2008/05/09/beauty-is-only-skin-deep-skinning-your-winforms-application.aspx
http://www.atalasoft.com/cs/blogs/jake/archive/2008/05/19/beauty-is-only-skin-deep-part-deux-if-it-looks-like-a-duck-it-might-be-a-winform.aspx
The same thing can be done in C++ by following the technique