Pingdom Desktop Notifier tells you when your web site goes down
The notifier runs on Windows XP, Vista, and 7, and it's dead simple to set up and use. Install it, enter your credentials, and the system tray icon appears. With any luck, it'll go green. That's good. Red, not so good. When things go south, the alert (inset above) appears and provides buttons to jump to your Pingdom log or visit the offending site (just to satisfy your curiosity).
The Pingdom Desktop Notifier is a free download, and a single-site monitoring account is also free.