XChat-WDK comes with a tray icon. It can be either Plugin-Tray or X-Tray. Plugin-Tray is a built-in feature and it is the default. If you want to use X-Tray instead, you have to select it under Plugins during install.
Selecting between them is usually a personal preference. Plugin-Tray offers UI integration and infinite tray icon blinks, while X-Tray has tray balloons and a context menu for various tasks and settings. It's up to you to choose.
Hint: Plugin-Tray is automatically disabled when XChat-WDK detects X-Tray in the plugins subfolder, so you can switch between them by simply renaming xtray.dll to something like xtray.dld (XChat-WDK only loads DLL files automatically).
Hint: if you use X-Tray and tray balloons don't appear for some reason, they may have been disabled in Windows. Refer to this guide for enabling them (set EnableBalloonTips to 1).