We’ve all seen it and now I want to do it. How may I go about achieving this effect with a winforms application?

(source: activewin.com)
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You are probably going to want to start reading about Desk Bands. It’s not an easy process, and you won’t be able to just put your winforms application in the task bar. It also depends on what version of Windows you want to target, as tommieb75 pointed out, the newer versions of windows have better integrating capabilities.
In addition to the above, the Windows v6.1 SDK includes a desk band example that you could check out.