see here:
http://jeans.studentenweb.org/java/trayicon/trayicon.html
Windows Tray Icon - Java Implementation!
About?
Want your Java App to live in the Windows System Tray (Taskbar Notification Area)?
Any icon can be used. You just need a 16x16 GIF/JPG image!
Tooltip is displayed when the user mouses over the icon
ActionListener support (callback Java method when user clicks Tray Icon)
Popup menu support (AWT menu, Swing menu, ...)
Internationalization support
Your applications window can be hidden (removed from the task bar) until the user clicks the Tray Icon!
Support for Windows XP style Balloon Messages
C++ source code for the native library included
Unicode and Internationalization support
Small demo app included