The utility we're using to illustrate with is RedShift, which adjusts your monitor's colour temperature (by adjusting gamma settings in software) to be kinder to your eyes late at night; because staring into a bright, blue-tinted screen doesn't exactly help your body clock. You can get it here: http://jonls.dk/redshift/
Put redshift.exe into the same directory as the script.
#Persistent Menu, tray, add, Reset gamma, MenuHandlerReset Menu, tray, add, 4500K, MenuHandlerRed Menu, tray, add, Exit, MenuHandlerExit Menu, tray, NoStandard return MenuHandlerReset: RunWait, RedShift.exe -x, , hide return MenuHandlerRed: RunWait, RedShift.exe -x, , hide RunWait, RedShift.exe -O 4500, , hide return MenuHandlerExit: RunWait, RedShift.exe -x, , hide ExitApp
It should be fairly self-explanatory, or easy enough to follow with the AHK documentation. We want a persistent application that shows our menu rather than the default one. Each menu option calls one or more command-line strings whilst hiding any windows created, and waits for the executed command to complete before moving on. (Note that for the lowered colour temperature option, we first clear the gamma settings because otherwise the hibernate function in XP will interfere.)
You can build this into an executable using the "Convert .ahk to .exe" shortcut installed with AutoHotkey. For an icon, I started with the lightbulb from the Silk icon set and adjusted the colour balance in XnView.