Argh !!! I don't know why but I keep forgetting the ex-style bit for this...
To prevent the window button from being placed on the taskbar, create the unowned window with the WS_EX_TOOLWINDOW extended style. As an alternative, you can create a hidden window and make this hidden window the owner of your visible window.
The Shell will remove a window's button from the taskbar only if the window's style supports visible taskbar buttons. If you want to dynamically change a window's style to one that doesn't support visible taskbar buttons, you must hide the window first (by calling ShowWindow with SW_HIDE), change the window style, and then show the window.
Taken from here: The Taskbar
