Try adding the WS_EX_APPWINDOW flag to the ExStyle property of CreateParams.
Windows is trying to guess whether your window should have a taskbar button by looking at the caption and other styles.  The WS_EX_APPWINDOW makes it explict so Windows doesn't have to guess.
WS_EX_TOOLWINDOW makes it explicit that you should NOT have a taskbar button. 
Edit: like this
protected override CreateParams CreateParams
{
    get
    {
        CreateParams cp = base.CreateParams;
        cp.ExStyle |= 0x0040000;   // add WS_EX_APPWINDOW 
        cp.Style   &= ~0x00C00000;  // remove WS_CAPTION
        return cp;
    }
}