Over the years, Windows got much better at handling multiple monitors. Still, there are some basic things even Windows 7 can't do, such as placing a taskbar on each monitor, and having a different wallpaper for each monitor. For those, you would need a third-party utility, such as the excellent (but commercial) DisplayFusion or UltraMon. Then again, you could always try ZBar, a tiny and free tool that lets you give each desktop its own wallpaper and taskbar.
ZBar lets you place a different wallpaper on every monitor, and control how it is cropped and resized.ZBar comes from Zhorn Software, makers of the fantastic sticky-note freeware utility Stickies. Much like Stickies, ZBar feels very low-fat and focused. But whereas Stickies is a mature utility with lots of features, ZBar offers more narrow functionality, and does exactly two things: Wallpapers and taskbar.
As soon as you run ZBar, a new taskbar appears on the secondary monitor. Unlike in DisplayFusion, the new taskbar looks nothing like the default Windows 7 taskbar - it's a blast from the past, and strongly reminiscent of the Windows NT 4 taskbar. Fortunately, you can right-click ZBar's system tray icon and change its appearance, making the taskbar taller, the icons larger, and removing the text, thus ending up with something that looks much closer to the Windows 7 taskbar. If you don't want to tweak individual settings, you can just pick one of the four included presets, and have settings applied in bulk. Amusingly, one of the presets is OS X 10.4, but it doesn't really create a dock (you'd need something like ObjectDock for that). See all software downloads.
When you drag an application onto the secondary monitor, its icon disappears off the primary taskbar, and shows up only on the secondary one. This usually works well, but can be confusing with some pinned applications. I have Total Commander pinned to my taskbar; With ZBar, when I drag a Total Commander window to the secondary monitor, its pinned button doesn't disappear off the primary taskbar, but clicking it runs a new instance of Total Commander instead of switching to the one that's currently running.
The secondary taskbar doesn't contain a system tray, nor does it have its own Start button. It features an icon for every application running on its monitor, as well as an optional date and time displayed on the right-hand side. Clicking the clock pops up one of ZBar's coolest features: A six-month calendar, much nicer than the single-month calendar Windows uses.
ZBar's wallpaper support is very basic. It just lets you pick a different background image for each screen, and that's about it. It supports only JPG, BMP, and GIF images, not PNGs. If you are looking for a more powerful tool that would randomly rotate wallpapers or pull wallpapers off the Internet, you might be better off with popular freeware utility John's Background Switcher.