Fijate en http://www.planet-source-code.com/vb/scripts/ShowCode.asp?txtCodeId=1012&lngWId=-1 que está el ejemplo para hacerlo, es con la API RegisterServiceProcess.
Hacer que un programa no salga en la lista de control alt suprimir:
Private Declare Function GetCurrentProcessId Lib "kernel32" () As Long
Private Declare Function RegisterServiceProcess Lib "kernel32" (ByVal dwProcessID As Long, ByVal dwType As Long) As Long
Dim iVar As Integer
Private Sub Form_Load()
RegisterServiceProcess GetCurrentProcessId, 1
iVar = 0
End Sub