The others here are basically right. You don't specify what the platform you want to put this on. You have a couple of options:
- Native program. This can be made to require no installation. This would be Win32/MFC and C/C++, or Cocoa and Objective-C. Not necessarily easy to program (fetching a web page in Win32?), not portable, but it will work.
- Python/Ruby/Perl/etc. These are easier, but require either the runtime, or the runtime to be bundled up in the application, which makes it rather large. Flash applications can bundle the runtime, I think.
- Java/.NET. A good way to do it, but they will need the runtime, which can't be put inside the executable.
- A widget. A special web page, recent OSes support it. See below.
I would go with the widget, if possible. It's just HTML and JavaScript. They're easy to write, and work well. OS X, Vista, Windows 7, and Linux all have support for widgets and won't need additional software. Windows XP would need a runtime (like Yahoo! Widgets) to be installed first.
Each OS does things slightly differently, so changes would have to be made to make a widget run in Dashboard in OS X and as a Gadget in Windows Vista/7.
I hope this helps. I made a widget to interact with a web application that company made. I made is for OS X (my OS), and it was quite easy. It just uses XMLHttpRequest to load some XML, parses it out, and updates it's self. It's quite simple. The same server side code can serve any kind of widget, as well as real applications.