Putting a FrontEnd as shell is one thing. (Very easy and not too risky).
Hiding really windows is another chalenge. You have to deal with windows version, service pack version, and for 2000 and XP , you have to hack resource from on .Exe file. (to change loading image) . That's no so trivial.
I did this kind of tool for my own usage few year ago (on win2000). But i only manage my window version and i won't take the risk (in the state of the program right now) to distribute it. The resource Hacking required too much constraint and check. If you put a too big image when you replace the existing one, you can corrupt the exe and windows won't start anymore.
In addition of that , as you are running under windows, you can not access to the file from the session you are. You have to copy it, modify the copy , replace it after. etc... so lot of thing to take in account.
It is doable of course, but not so easy you think. And surely not without risk.
So, now, may be there is another way , just changing some registry stuff, but i don't know that way. Is there? I spoke about Win XP and 2000 , not 98 where it is lot more easy.