I have written a small freeware Windows program to illustrate
the concept of a sampling distribution. If you think such a thing
might be useful to you, as a student or teacher, you can
download it here:
http://www.winsite.com/bin/Info?36500000036856
Suggestions for expansion and improvement are welcome.
Acknowledgement: The program has some similarities to the "Sampling
Distributions" program at www.gen.umn.edu/research/stat_tools.