Off the top of my head, I can think of a couple of ways to achieve this, but you're going to have a problem in that the user may be able to kill your application using the task manager. Most people have a policy, here on Code Project, in not providing an answer on how to prevent the task manager from being shown because, while your purposes may be good, you aren't the only one who reads this, and we don't want to help people write malicious software.
Saying that, what are the two methods? Well, the first would be to write an application that was set to be always topmost, and that filled the full screen (or screens if you have multiple monitors) - you could make the background semi-transparent to show some of the screen underneath.
The second method takes advantage of the fact that Windows really has multiple desktops. Basically, you'd take a snapshot of your current desktop, create the new desktop, paste your image onto it, and then display your application over the top. Try combining this with the technique above.
In order to create a new desktop, you could read
this[
^] article.
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