Cheesy Design has released an exchange rate plug-in for Desktop Sidebar http://www.desktopsidebar.com This plug-in is modelled on the Share Market stocks plug-in that comes with Desktop Sidebar.
The binary can be downloaded from Here . The binary gets its extension renamed to .zip when downloading using IE8. Simply rename it back again to .dspackage to install in Desktop Sidebar.
The source code can be obtained from Here where the code is maintained on the Source Forge subversion repository.