I once made an app. that sat in the tasktray watching stocks alerting you
when some treshold was reached.

Yahoo to my knowledge does not present such services (at least not for
free!), so I resolved it using screenscraping (parsing the page-html).
Take a look at this url: http://finance.yahoo.com/q?s=MSFT
As you see, the stocksymbol is present as querystring, meaning you can use
it for parametized lookups. The html presented will be the same...

It seems I'm not the only one going down that road. Have a look here:
http://dotnetjunkies.com/Article/A3E8CA89-9AA1-4C3B-BCC6-901C92A523E9.dcik