UPDATE: Information gets outdated as times goes. It seems there is an easier, much faster installer for Vista Sidebar in XP. You can get it here. It seems to do all the steps below automatically for you, and may even have the latest versions of the components including the sidebar.
You may have experimented with sidebar mock-ups like Thoosje Sidebar or Yahoo Widgets, but found them to be not as good as Windows Vista Sidebar. Well, now you can get the original Vista Sidebar working in your Windows XP or 2003.
I have zipped up all the required files into one ZIP file, which can be downloaded by clicking here. There are some PDF files in the ZIP file as well, in case you need more information.
Before you begin, you must make sure you have Windows Media Player 11 and Internet Explorer 7 installed in your system. You can find out by opening these programs and going to "Help > About" or a similar menu item. If they are not installed, you can download them here: Windows Media Player 11 and Internet Explorer 7.
Step 1. (XP only) Install Wireless LAN API Hotfix KB918997
Run the included file "1. XP Wireless LAN API (KB918997).exe" to install the hotfix. Follow on-screen instructions. Please note that this is required in Windows XP only. Windows 2003 does not require this hotfix. You can also download it by clicking here. A system restart after the installation of the hotfix is mandatory. Do not skip the restart even though you are allowed to.
Step 2. Install Visual C++ 2005 Redistributable Package
Run the included file "2. vcredist_x86.exe" to install the package. Follow on-screen instructions. You can also download it by clicking here.
Step 3. Install Alky for Applications
Open the included ZIP file "3. AfA_final.zip," browse to either XP or 2003, depending on your version of Windows, and open the file "Installer.msi" to install Alky. Follow on-screen instructions. You can also download the latest version here.
Step 4. Install Vista Sidebar (the BIG step ;)
Run the included file "4. Windows_Sidebar_Installer_August_1-2007.exe" to install the Sidebar application. Follow on-screen instructions. Do not restart or try to open the Windows Sidebar as you will not be able to proceed to the next two steps if the Sidebar is running. You can also download the installer here.
Step 5. Copy the included fonts to the Windows Fonts folder
Extract the four files from the "5. Copy to Fonts.zip" ZIP file. Open Control Panel > Fonts (or browse to C:\Windows\Fonts). Find the four fonts named Segoe UI (Regular, Bold, Bold Italic and Italic). If you open any one of them, you will get a completely blank font, which is the reason behind this step. Delete all the four fonts. Now drag and drop the four extracted files into the Fonts folder (or copy and paste them).
Step 6. Update the Sidebar to the latest version (this is long but can be skipped :D )
Extract all the files and folders from "6. Sidebar.zip" ZIP file. Open My Computer and go to C: drive > Program Files folder > Windows Sidebar folder (or browse to C:\Program Files\Windows Sidebar). If necessary, back-up everything except Gadgets and Shared Gadgets folders. Copy the files you extracted before into this folder (use drag-drop or copy/paste), replacing all existing files and folders. (You can also obtain the latest version of these files from a Windows Vista installation.)
In C:\Program Files\Windows Sidebar, after you copied the new files, right-click the file "sbdrop.dll" and click "Patch Vista library..." Do the same for "wlsrvc.dll". Right-click the file "sidebar.exe" and select "Patch and Run Vista executable...". Within some time, you'll see the sidebar and a new tray icon in the notification area. Right-click this Windows Sidebar icon and click "Exit". Confirm the exit by selecting "Start Sidebar when Windows starts" and clicking "Exit Sidebar".
Open Command Prompt by clicking Start > Run, typing cmd and clicking OK. Copy the following set of commands and paste them in Command Prompt by right-clicking the title-bar and selecting Edit > Paste (You cannot press Ctrl-V in Command Prompt to paste).
cd "%ProgramFiles%\Windows Sidebar\"
Two dialog boxes will appear. They should say that the operations had succeeded. Click OK to both of them, and press Enter at the Command Prompt to close it (the "exit" command is waiting at the prompt).
That's it. You can run Windows Sidebar by opening the shortcut on the Desktop. It will also run at start-up unless you change the options.