Is there a desktop-based tool that's used for code reviews or do we just have to print out the code and mark it up by hand?
Do you need desktop-based or just computer based? Check out Crucible:
http://www.atlassian.com/software/crucible/
Have U tried CODE COLLABORATOR??
See the Video Demo for youself...
http://www.smartbear.s3.amazonaws.com/webinars/CCDemo2010-03-31/CCDemo2010-03-31.html
(U might want to skip the first couple of minutes of the video and skip directly to the working demo of the software)
Check-out a free 30-day trial
smartbear.com/codecollab-download.php
GOOD LUCK!!
I would search Sourceforge's database for Desktop based Code Review tools. And if you're using Windows, Codeplex is a good place to search as well.
Since I don't know why you want only desktop based code review tools (and I don't know which SCM are you using), the best thing IMHO for you is to search and test the solutions presented in both websites, and choose one that fits your needs.