WannaBe OSD
If you are using miranda (the best im program for windows ;-)), you can use this plugin to show OSD when message arrives etc.In real life, it then looks like this:
You can find all the related files on the miranda-im.org webpage:
http://www.miranda-im.org/download/details.php?action=viewfile&id=1963
I may add them here also sometimes, but now I'm pretty out of time to update two locations ;-)