Have you looked at Word's Comment feature?
Aside from that... you can drag and drop Notes from Outlook into a Word
document. There, they become embedded as packages that can be opened by
double-clicking. Not quite the same as a "sticky", but close enough. The
down side would be that another reader would probably need to have Outlook
in order to be able to read them.
Vista has a Sticky Notes accessory (I don't recall Windows XP as having
this--but, I didn't even know that Vista had it until you asked the question
and I decided to check). It allows you to create handwritten and/or recorded
voice notes. These can also be dropped into and saved in Word documents. I
don't know if they would be usable by a Windows XP user, however. The down
side (as far as I can tell), is that you can't type the notes -- only voice
or handwritten (they have to be done either using the mouse to "write" or
using a tablet or drawing pad).
For my purposes, using Outlook Notes as stickies seems a bit more flexible
than using Vista's Sticky Notes applet. Although... Word's Comment feature
is even more flexible, and pretty much guaranteed to work in Word, since
it's a Word feature.