These days you see a lot of software displaying message windows in the right bottom corner of the active screen for a few seconds or until a close button is cli
Check out Snarl, similar to Growl for Windows, but I have found to be better. There is a Pas file to easily interface, and the way it works is very simple, with just sending windows messages.
http://fullphat.net/
It also allows the end user some amount of control of which messages to see, duration before fading, etc.