The How-To Geek has created a solution to this problem by creating a WordPress Comments Moderation Notifier.  Once you’ve downloaded the software and installed it, it will place an icon in your Window’s system tray.  You will then want to add your site’s URL and login information in the settings, then determine how often you want it to check for moderation.  This also requires you to upload and activate a WordPress plugin.

This application then uses the WordPress API to check for comments awaiting moderation and then will display a pop up box once there are comments that need moderating.  You can click on the icon to access your WordPress comments moderation queue.

You can also easily access your WordPress moderation queue at your convenience by using the icon in your system tray.

If you decide to go through with this application, I recommend you place a shortcut to the notifier in your Windows startup folder so that it will be opened every time you restart your computer.

One feature I would like to see is the ability to monitor multiple WordPress blogs for comment moderation.   A high percentage of WordPress users now seem to run more than one blog at a time, so this application won’t offer much value to those bloggers.  Otherwise, I find this application very impressive and useful for people running a single blog.