I'm wondering how to create windows like these 
I'm refering to the one that says Marquee selection tool... these ones. I'm also not referring to the skin. I know how to do my own drawing and what not, this is not the issue. It's because windows usually need a parent which means it should not be possible for these windows to overlap into the tools. The only windows that can do this are context menus and menus. How can I create this style of window? Thanks
I think you are confusing the concept of owner windows and parent windows. Only dialog controls have parent windows, and these are automatically clipped by the parent's client area. Other windows have owner windows. This is a weaker relationship. There's nothing stopping a window from overlapping its owner.
Also, I wouldn't assume that just because the toolbar launches the context menu that the toolbar window has a relationship with the menu window. It might or might not, depending on how things are coded behding the scenes.
In any case, just try it out. Use the TrackPopupMenu() to create a popup. You can have it overlap the owner window without difficulty. Any window without the WS_CHILD style will exhibit the same behaviour.