MSDN:
After the window has been created, these styles cannot be modified
...So the only option is to make you window child of the desktop (set parent to none/null)...However such change can have unwanted effects, like wrong rendering (very common)...
Basically child window with no parent is forbidden so do not expect it behave well...
MSDN:
If you specify the WS_CHILD style in CreateWindowEx but do not specify a parent window, the system does not create the window.
You may destroy and re-create the window...