By assigning the desktop handle to be the form's parent, it will always be in the backgroud, even when it gets focused.
procedure TForm.CreateParams(var Params: TCreateParams);
begin { TForm.CreateParams }
inherited CreateParams(Params);
if Assigned(Application.MainForm) then
begin
Params.WndParent := GetDesktopWindow;
Params.Style := WS_CHILD
end; { Assigned(Application.MainForm) }
end; { TForm.CreateParams }