This was called a "DeskBand." DeskBands are the extra toolbars which were available (and which you could create from any folder or shell object). Those toolbars could be attached to the Start Bar, or docked to one side of the screen (and auto-hidden, as you mention), or just free-floating on the desktop.
Unfortunately, in Windows Vista, Microsoft deprecated the concept of "floating" DeskBands. This term was used to refer to any DeskBand which was not docked to the Start Bar. I believe Vista included the feature (though I can't confirm this), but it was already put on notice at that point for Win7.
Win7 removed it entirely. You can create custom toolbars (I have), but they all have to live within the confines of the TaskBar. This makes me very sad personally, because it means I need to find or code a custom app launcher. (Start Menu doesn't cut it, and my 5 custom toolbars -- even shrunk down to nothing but labels -- are eating too much horizontal real estate on the TaskBar.)