Warning It was suggested that you can accomplish this by calling SetParent and setting the window to be a child of the Desktop. If you do this, you cause the Win32 Window Manager to combine the input queue of the Desktop to your child window, this is a bad thing – Raymond Chen explains why.
Also, keep in mind that calling SetWindowPos with HWND_BOTTOM is incomplete. You need to do this whenever your window is changing zorder. Handle the WM_WINDOWPOSCHANGING event, look at SWP_NOZORDER for more info.