This answer was kindly given to me from Johnson - MSFT at the Silverlight Forum.
In windows Explorer, browse to the floating windows folder, right click the dll file, select properties and under the general tab select the allow button.
In visual studio open your Silverlight application project and select the project menu, select your application properties from the drop down menu, go to the reference tab, click the add button and then browse to the floating windows dll file and click ok.
Job Done!
Please see the code that was supplied with the answer as an example.
Private Sub Btn_Click(sender As System.Object, e As System.Windows.RoutedEventArgs)
Dim fw As New FloatableWindow()
fw.Title = "Show Date Time"
fw.Height = 200
fw.MinHeight = 150
fw.Width = 300
fw.MinWidth = 250
fw.Content = DateTime.Now.ToLocalTime()
fw.ShowDialog()
End Sub