Display a message to a user through vb.net using windows service

I'm using vb.net 2008 and sql 2008 and I want a message to be displayed to a user when the vb program is not running.
I have been able to display the message, but that's when the Vb program is running. Is the anyway to display the message when the Vb project is not lauched or run? I thought of Windows Service, but do not not how to go about it. Thanks in advance.