With this simple tips you can hide the application on Windows Taskbar even if its running
1. Declare Win32 API module on Declare -> Local External Functions:

FUNCTION boolean SetWindowLongA (ulong hWnd, int nIndex, long newValue) Library "user32.dll"

2. Add below codes on Open event on main window
IF NOT SetWindowLongA(Handle(This), -20,128) THEN
messageBox ('Error','Cannot Hide!')

In order the code to take effect you should compile your application into EXE first