That's not what this picture shows here on your own web page, note that the window the black arrow is pointing to is a Skype client window. This would be impossible to do, without modfiying the Skype "User Interface", because there is no support for displaying your own pictures/animation of any kind in the Skype "User Interface" windows and the Skype Desktop API has no methods of doing this as well. Even if this were being done by using a window overlay, it is modifying the Skype "User Interface", which is, in fact, a violation of the Skype Desktop API Terms of Use:
From:
http://www.msgplus.net/Features/For_Skype