There is more than one way to skin a cat (never understood that proverb...perhaps it depends on whether you boil the cat first? I dunno, anyway, we're digressing), and there is more than one way to stop a window appearing on the taskbar.

• Rather than WS_EX_APPWINDOW, give your window the WS_EX_TOOLWINDOW extended style. Since toolbars don't appear on the taskbar, this will prevent it appearing there. Unfortunately, this has some rather negative repercussions on the appearance of your window : it gets a thin caption with smaller title, and loses its system menu. This is not acceptable to many people.
• Windows owned by an invisible window won't appear on the taskbar. "Great", say you, "but my app is dialog based, so what now Mr Smarty ?". Well, you can either recast your dialog app as an SDI with a hidden main window, and have that main window shown at startup, or you can create your own hidden window and set that as your dialogs owner, or you could just go look at tip # 26, which explains the best way....