This is my mixed Desktop:
In the Background Windows (I don't use it often ;)) and on it - via CygWinX - a KDE-Desktop.
I killed kdedesktop and hid the taskbar. In the top (right side) you can see a little taskbar with some buttons on it so I can run my preferred KDE-Apps.
I styled my KDE to a kind of Windows-Style.
BTW: I cheated a little bit: KDE runs on my 2nd machine and is just remotely controlled via the X-Server supplied by CygWin.