As far as I know, the only way to prevent your desktop from showing up is to replace the Windows shell with your front-end. I suppose if you didn't want to go that far I suppose you could autohide your taskbar and remove all of the icons from your desktop, but I think the taskbar still shows itself on boot. I'm not sure.
For my cabinet, I followed the instructions
here for replacing the windows shell with my FE (Maximus Arcade). Add a Mame inspired bootskin (free app from stardock) and the tweak ui tip from this thread, the only evidence you see of Windows from a cold boot is a split second mouse cursor and then you are in maximus. The instructions should be generic enough for any FE.
One thing that helped was I made my desktop solid black and I made my mouse cursor a black outline, so it's still usable for most things, but won't show up on the black background.