Developing a simple Windows system tray desktop app to consume a .NET web service

Keep it all in .NET. You can easily write a Windows Forms application to display a tray icon and display notifications as and when something happens in the web service (you'd probably need a timer to do the polling).

There are plenty of articles around that will show you how to do this. Here's one to get you started:

http://www.codeproject.com/Articles/290013/Formless-System-Tray-Application

I assume that you have to use WPF and MVVM so it is going to be really awesome app.

And the best example I found is that one

WPF NotifyIcon http://www.codeproject.com/Articles/36468/WPF-NotifyIcon