The dialog will also show up in the taskbar when you apply the WS_EX_APPWINDOW style:

Code:
void CMyProgramDlg::OnShow() 
{
    CMyDialog* pDlg = new CMyDialog;
    pDlg->Create(IDD_DIALOG1, this);
    pDlg->ModifyStyleEx(0, WS_EX_APPWINDOW);
    pDlg->ShowWindow(SW_SHOW);
}