Is there any messaging integrated menu for Windows such as there is a Gnome messaging menu for Linux? It’s so beautifully integrated in desktop itself.
The only thing I can think of that comes closest to the experience you get in Ubuntu, is using third-party applications, like Digsby. With it, you can change your status in many chat networks from the system tray and receive notifications in the taskbar. That's probably all there is for Windows right now.
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How To Customize Windows Notification Messages with Snarl
Mail Notification monitors your mailboxes for new mail.
I haven't found anything that does this in Windows. It's just one of those things that's Linux only that Windows will probably never support out of the box and 3rd party applications that do the same thing will probably just slow down the computer drastically, like with multiple desktops.
I was thinking there might have been something made for Adobe Air, but it looks like I was wrong. Probably the closest you'll get is to put something into the Windows Sidebar if you use it. Yahoo Messenger has a Sidebar widget, and I think AIM might too.