In C# I need to make something like this:
Any idea how to do that + autohide it with taskbar? It should work like older versions of WMP.
You have to create a Desk Band, which is a COM object implementing the interfaces IDeskBand,IObjectWithSite and IPersistStream and some others depending on the behavior you want (such as IInputObject if you want user input). This is a good starting point on the msdn and here's a CodeProject article about it. This answer on StackOverflow might also be worth looking at.