To do that I use a piece of software called Rainmeter which allows scripts to run directly on the desktop. The script I use is modified to add the colour circle and a more slick design. The original script can be found here:
A user last year also released an edited version of the script last year, it’s a minor change but pretty nice. That can be found here:
As for the modified one I made. Didn’t release it, this was done the first time I had ever used Rainmeter and it isn’t exactly the best made.