There are several ways to do this. Here are a few examples:
-Hack Task Manager by physically patching the program or modifying the TM's code in memory.
(Requires knowledge of Assembly Language, Windows API programming, and low-level debugging.)
-If you make your program as a Windows Service program, then just svchost.exe would appear in TM.
-If you make a driver or filter driver, then it won't appear in TM.
-If you make a .dll and use rundll.exe to execute the code within the .dll, just rundll.exe will appear in TM.
-The most common method is to make your program so that detects when Task Manager is run and then modify Task Manager's list box when the Task Manager window pops up.
One example:
http://www.codeproject.com/KB/system/Hack_Windows_Task_Manager.aspx
By the way, this CodeProject website is a good programming site for intermediate Windows programmers.
P.S.
If you're using stupid garbage like .NET, MFC, or VCL, then you STILL don't know Windows programming. Writing Windows programs with the Windows API functions is the only real way to go.
This book will teach you the basics and anyone who really knows Windows programming would usually recommend this book:
http://www.microsoft.com/learning/en/us/book.aspx?ID=2344&locale=en-us
Every other book for learning Windows programming is utter crap...and I can prove it.