I've been learning how to make gadget and the simple gadgets all make sense.
How would I make a Gadget that logs into a website and retrieve details for that user (so it's pretty much simulating the user logging in and showing basic information ??
(eg. like the facebook gadget that shows any messages, "pokes" . etc. etc. ....
A lot of sites like Facebook offer what's known as an API (Application Program Interface) and a developer network full of documentation that can be used to access a wide set of information from the site or provide information to the site. For Facebook's API, see http://developers.facebook.com.
For a fairly comprehensive list of sites that offer APIs, see http://www.programmableweb.com/apis.
As for acquiring sensetive user data, Facebook, eBay and most other sites require that you direct the user to sign in on their site to retrieve a token which, when supplied to your application, will authorise it to use restricted API calls for that user.