I am surprised I could not find this question already asked, so if I simply missed it please notify promptly.
I need to write a very small, fairly simple application in .
This may or may not be the answer you are looking for. If your application can survive in the Silverlight sand box, you may want to explore Silverlight 3.0.
Silverlight 3 allows your application to run outside of the browser on Windows and Mac.
Here's an example of setting it up: http://www.silverlightshow.net/items/Silverlight-3-as-a-Desktop-Application-Out-of-Browser-Applications.aspx
There is bitrock, which handles your target platforms but costs money