Making something the gadget would be simple enough but figuring out how to get the forum data to be displayed on someones desktop is a whole new ball game. I would recommend that you use
Mioplanet's MioFactory (it is a free program but only for non-commercial websites) to create something like that, I made a desktop ticker for my site that uses the external.php page to display the latest threads on my desktop.
http://allthingsintended.com/forums/...39&postcount=1