This has previously been asked (2001) but without a solution.
http://forums.techguy.org/windows-xp/58217-exclusive-shell-applications.html
In BPM Studio you have the option to run the software as an "Exclusive Shell Application". Immediately after logging into Windows, BPM Studio appears and nothing else Windows-related (taskbar, desktop icons etc) loads. On exiting BPM, the user is returned to the Windows login screen.
Does anyone know how this is achieved? I want to do something similar for some software i'm working on. I've done a lot of research and can't find any leads!
Thanks