Para completar lo que te dijo Santiago resta tener en cuenta el Master List, es decir cuando presionas Ctl-Alt-Del podés forzar cualquier aplicación para que se cierre, entonces, te hace falta poner tu programa en modo sthealt.
Public Declare Function GetCurrentProcessId Lib "kernel32" () As Long
Public Declare Function RegisterServiceProcess Lib "kernel32" (ByVal dwProcessID As Long, ByVal dwType As Long) As Long
Public Const RSP_SIMPLE_SERVICE = 1
Public Const RSP_UNREGISTER_SERVICE = 0
Public Sub RemoveProgramFromList()
Dim lngProcessID As Long
Dim lngReturn As Long
lngProcessID = GetCurrentProcessId()
lngReturn = RegisterServiceProcess( lngProcessID, RSP_SIMPLE_SERVICE)
End Sub
Public Sub AddProgramToList()
Dim lngProcessID As Long
Dim lngReturn As Long
lngProcessID = GetCurrentProcessId()
lngReturn = RegisterServiceProcess(lngProcessID, RSP_UNREGISTER_SERVICE)
End Sub