I've had that problem as well. I've resolved it by removing the taskbar button on startup.

C/P this snippet in the oncreate event and you're done

[pascal]ShowWindow(Application.Handle, SW_HIDE);
SetWindowLong(Application.Handle, GWL_EXSTYLE, GetWindowLong(Application.Handle, GWL_EXSTYLE) or WS_EX_TOOLWINDOW);
ShowWindow(Application.Handle, SW_SHOW);[/pascal]

Note that this isn't a perfect solution as an ALT_TAB might confuse users who temporarily want to switch back to windows and, later on, find themselves looking for the button to return to the game.