How do I create a Cocoa window programmatically?

The problem is that you don’t want to call display, you want to call either makeKeyAndOrderFront or orderFront depending on whether or not you want the window to become the key window. You should also probably use NSBackingStoreBuffered.

This code will create your borderless, blue window at the bottom left of the screen:

NSRect frame = NSMakeRect(0, 0, 200, 200);
NSWindow* window  = [[[NSWindow alloc] initWithContentRect:frame
                    styleMask:NSBorderlessWindowMask
                    backing:NSBackingStoreBuffered
                    defer:NO] autorelease];
[window setBackgroundColor:[NSColor blueColor]];
[window makeKeyAndOrderFront:NSApp];

//Don't forget to assign window to a strong/retaining property!
//Under ARC, not doing so will cause it to disappear immediately;
//  without ARC, the window will be leaked.

You can make the sender for makeKeyAndOrderFront or orderFront whatever is appropriate for your situation.