windows programs (that arnt a window)

im wondering how people program programs that work on windows but do not have an actual window. its hard to describe. im talking about something like winamp, trillian, nero media player. if u know what im talking about can u please help me. im trying to figure out what language its in, what OS's its programmed for and how to do it.

heres what im trying to describe:

Never done it myself, but it can be done with C/C++ (win32api or mfc)
look up regions and layerd windows, these two can spice up the boring windows ;)

This (http://planet-source-code.com/vb/scripts/ShowCode.asp?txtCodeId=427&lngWId=3) may be an intresting example for you