A number of people have suggested things, like floating windows, etc, but there was the problem of how to keep them above other windows. So when I got bored tonight, I did a google search. Looks like this answers it. ;) Should be adaptable to other types besides dialogs.
http://www.codeguru.com/dialog/TopDlg.shtml
http://www.codeguru.com/dialog/TopDlg.shtml