I just used this feature for the first time - in MS One Note 2010, click on the \"Dock to Desktop\" button.
The application then literally docks itself to the bottom
http://msdn.microsoft.com/en-us/library/cc144177(VS.85).aspx
You will probably have a lot of trouble doing this with WinForms, but it might be possible -- probably, you'll have to do a lot of low level WinAPI stuff with PInvoke to make it work.
It probably uses SHAppBarMessage; example & a vb6 article simply because it has an illustration.