interesting topic, addressed several times, though I have not seen yet a working solution.
From my experiments some years ago, I managed to create Child windows that were visible in full screen mode. They had to have special window styles applied. As far as I remember I used the same style as un-docked gauge windows. You can easily get it using Spy program from Visual Studio. The problem I faced was they happened to "disappear" after switching from full screen to window mode and vice-versa and they were leaving ugly trace when moving a window. At the end I gave up and moved into gauge windows and forgot the whole idea. Prepar3D 2.x solves the problem with their new SDK.
I have seen Christoph's VATConnect project mentioned by mgh, downloaded it and it simply did not work. I dunno why, probably due to changes in d3d9_*dll. Hooking is always a tricky business. Anyway, he did not finish his project, still it is interesting to see some of his ideas.
Marcin