Shoutbox

I'm wondering this as it would be cool for it to just rest there and I can open files whenever. (Is there anyway to embed windows media player to desktop?)

There are some widgets with Konfabulator, I think, you can download it here: http://widgets.yahoo.com, and there is a link to the widgets page on there.

You could also use ActiveDesktop.
An ActiveDesktop basicly is a html file as wallpaper.
When you made the html file, you can set it as a wallpaper like you do with normal image files.