On Windows 7, is it possible to create an application to be displayed in the taskbar? What I have in mind is a small widget like a media player or a weather widget, etc.
Something like the mockup below:

Any idea?
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Yes it’s possible. What you are looking for is a toolbar or sometimes referred to as “desk band”:
http://msdn.microsoft.com/en-us/library/windows/desktop/cc144099.aspx#desk_bands