Para experimentar, crie um novo
Inclua na seção uses: Windows
program Project1;
uses
Forms, Windows,
Unit1 in 'Unit1.pas' {Form1};
{$R *.RES}
var
ExtendedStyle : Integer;
begin
Application.Initialize;
ExtendedStyle := GetWindowLong(Application.Handle, gwl_ExStyle);
SetWindowLong(Application.Handle, gwl_ExStyle, ExtendedStyle or
ws_Ex_ToolWindow and not ws_Ex_AppWindow);
Application.CreateForm(TForm1, Form1);
Application.Run;
end.
Ao executar observe a barra de tarefas e teste o Alt+Tab (seu programa não estará lá!).