I had this problem episodically from W95 !!
Now I Have Windows 7 and suddenly it appears and don't go away.
Seems that the O.S. think there is an open Balloon, even if the balloon is not !
Googled the Web, found an interesting utility that seems can solve it:
"Taskbar Slapper" from NovaFrost BUT it s not anymore available.
Luckily I found another one, I tries it .. It fix forever the problem and give you a bonus:
It delay the taskbar!!!
: http://pmdevigne.********/index_e.shtml The Taskbar Activate page
Hope it help !