OH that, LOL
That is Stickies. Stickies comes with Mac OS X and is in your Applications folder.
Hitting Command+shift+Y if you are in the Finder will also open Stickies. If you have a jpg highlighted it will open a new Sticky with that image. You can also drop a PDF on a Sticky and it will display that PDF complete with a scroll bar.
You can also use
Desktastic to draw and type right on the desktop or any open window.
Check out this site for lots of hints and tricks.
http://www.macosxhints.com/