Lots of software have it, why shouldn't we? It could be a nice tool to make users aware of Shareazas features, to display a message from time to time that we're seeking developers and it could help new users getting started.
The design of such a window should be very clean and minimalistic, containing one (optional) picture (where we could show where a certain feature is for example), a central text label, a check box to not to show the message of the day anymore, an "OK" button and a "Next message of the day" button.
In order to make it easy to add new messages and to delete old ones, I think a folder in the Shareaza install directory could be used to store pictures and .xml files from which the messages could be loaded dynamically at run time - which allows as a nice special feature to have different messages of the day for different language versions, BTW. (For example information about RTL languages doesn't need to be shown to users, who don't use one of those languages, and tips about some specific advanced features don't need to be shown to "normal mode" users, etc.)