How to open a separate window

I want to make a GUI, perhaps using Unity’s GUI class, but have it draggable outside of the Unity program. For example, the Color picker in Unity opens in a separate window and can be dragged out of Unity. Another example would be like the console window.

However, I want my window to open when my Unity application starts playing, and I don’t want it to close until my main application closes.

How would I go about doing this?

If you have Pro you could look into using the system DLL’s, I’ve seen people do stuff like that before. On Windows like Kernel32.dll