what is the littlewindow that slides in and out upper right corner of desktop

when I open my 2016 MacBook Pro with Montreay 12.6 sometimes there is a small window in the right upper corner of the desktop. I try to capture it but can not. Then I can not find it anywhere in my computer. I click on date and time and notifications doesn't have it. A photo just flashed up there that was new from a friend. I tried to get it and couldn't. Ive looked everywhere I know to look and an not find it. What is this window and how do I control its please

Thanks

Carl