In other words if I want to have a notify icon I have to have a main window.... However in the XS code I guess I can't have a WinMain function.

AFAIK the problem with WinMain function is not XS, it is .dll, WinMain is meant for .exe

FWIW, the desktop is a hwnd

Win32/MFC is a whole other ball of wax apart from xs , but you can mine the useful bits out of http://search.cpan.org/~robertmay/Win32-GUI-1.06/samples/NotifyIcon.pl

I would look into abstractions like libnotify and Growl

Growl::GNTP, Growl::Any, Gtk2::Notify, Win32::TSA::Notify