Also on Windows XP (at least here :P) with the Hiding Systray Icon feature (I dont know the exact name, since my Win is in another language), if the icon spends too much time inactive, XP will automatically hide it. By clicking on the little arrow in systray you can see all icons there.
To set an icon to always
show/hide, right click on the taskbar and go to Properties (last icon on the menu). Then on the Taskbar table, click on the last button (Configure or sth like it..). Then its just choosing the icon you want and its behaviour
Hope this helps,