Emulate Windows 7 "Connect To" Dialog

Question

In Windows 7, the Connect To dialog opens over the taskbar tray. When you go to any other application or the desktop, the window disappears.

I would like to be able to do this in C#. Right now, I am capturing the Leaving event of the form, but this doesn't work in every case (i.e. switching from my application directly to the desktop).

Is there some way of doing this. Can I capture some messages from the window using winapi and then be able to do this?

Thanks!