"If Microsoft don't know about this, then they haven't used Windows. This happens every so often with me - and a lot of other users.
It imagine that it is either:
A fundamental bug in their windowing/graphics systems, too small to worry about, or it is caused by some third party program or driver
I personally think it is either option one or two, but the point is Microsoft haven't fixed it. You could try updating your graphics drivers or seeing if any patches have been issued on Windows Update, but I don't think it'll have much impact.
I'm not sure about the state of play on Vista or 7, as there was a major renovation of the windowing system, and Aero works differently.
Also, for me (XP Pro and part of a domain), bringing up the ""Windows Security"" dialog (Ctrl+Alt+Del) usually clears any floating things."