Make your dialog resource invisible using the styles tab in 
the dialog properties.

Remove all the DoModal gunk from your InitInstance, so you end 
up with something like this :

BOOL CMyApp::InitInstance()
{
   #ifdef _AFXDLL
    Enable3dControls(); // using MFC in a shared DLL
   #else
    Enable3dControlsStatic();    // linking to MFC statically
   #endif

   m_pMainWnd = new CMyModelessDlg;

   if (m_pMainWnd)
      return TRUE;
   else
      return FALSE;
}

I place the call to Create (...) in my dialog constructor and 
make it public. Other people organise things differently but it 
works for me... curse the OOP thought police <g> :


CMyModelessDlg::CMyModelessDlg(CWnd* pParent /*=NULL*/)
    : CDialog(CMyModelessDlg::IDD, pParent)
{
   //{{AFX_DATA_INIT(CMyModelessDlg)
   //}}AFX_DATA_INIT
   m_hIcon = AfxGetApp()->LoadIcon(IDR_MAINFRAME);

   Create (IDD, pParent); // Create modeless dialog.
}


You will need to handle PostNcDestroy and delete the dialog 
object yourself (ClassWizard can set up the handler for you) :


void CMyModelessDlg::PostNcDestroy()
{
   delete this;
}


You may find that if you call DestroyWindow from within your 
dialog in order to shut down, you will have to call your own 
PostNcDestroy in order to avoid a leak. Watch the debug output 
from your app running in debug mode - if this is the case MFC 
will helpfully give you a warning there. Here's the normal 
WM_CLOSE handler:

void CMyModelessDlg::OnClose() 
{
   if (m_bOkToClose)
   {
      CleanUp ();
      DestroyWindow ();
   }
   else
   {
      ShowWindow (SW_HIDE);
   }
}

I use the m_bOkToClose flag to distinguish when I'm permitting 
the user to close down and when I want that action to simply 
hide the window. Cleanup is a function that does any necessary 
CloseHandles, removes any tray icons and deletes any allocated 
memory.