If you are using WPF, you can use the TaskbarButtonInfo.Overlay property .
var dg = new DrawingGroup();
var dc = dg.Open();
dc.DrawEllipse(Brushes.Blue, new Pen(Brushes.LightBlue, 1), new Point(8, 8), 8, 8);
dc.DrawText(new FormattedText("3", System.Threading.Thread.CurrentThread.CurrentUICulture, System.Windows.FlowDirection.LeftToRight,
new Typeface("Arial"), 16, Brushes.White), new Point(4, 0));
dc.Close();
var geometryImage = new DrawingImage(dg);
geometryImage.Freeze();
var tbi = new TaskbarItemInfo();
tbi.Overlay = geometryImage;
this.TaskbarItemInfo = tbi;
Gives out

If you are using Windows Forms, use the Windows Code Code Pack as described in this related question .
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