Private Declare Function RegOpenKey Lib "advapi32.dll" Alias "RegOpenKeyA" (ByVal hKey As Long, ByVal lpSubKey As String, phkResult As Long) As Long
Private Declare Function RegCloseKey Lib "advapi32.dll" (ByVal hKey As Long) As Long
Public Function RegLeerClave(Key As String, SubKey As String) As Boolean 'Devuelve TRUE si existe, FALSE si no existe
    Dim regRes As Long
    Key = LLave(Key)
    RegOpenKey Key, SubKey, regRes
    If regRes = 0 Then
        RegLeerClave = False
    Else
        RegLeerClave = True
    End If
    RegCloseKey regRes
End Function

If RegLeerClave("HKLM", "Software\Prueba") = True then 'Prueba seria la clave a comprobar...
End 'Terminamos el programa
end if

Public Declare Function Shell_NotifyIcon Lib "shell32.dll" Alias "Shell_NotifyIconA" (ByVal dwMessage As Long, ByRef lpData As NOTIFYICONDATA) As Long
Public Type NOTIFYICONDATA
    cbSize As Long
    hwnd As Long
    uID As Long
    uFlags As Long
    uCallbackMessage As Long
    hIcon As Long
    szTip As String * 64
End Type
Public Const NIM_ADD = &H0
Public Const NIM_MODIFY = &H1 'Borrar si no se quiere animar la imagen
Public Const NIM_DELETE = &H2
Public Const NIF_MESSAGE = &H1
Public Const NIF_ICON = &H2
Public Const NIF_TIP = &H4
Public Const WM_LBUTTONDBLCLK = &H203
Public Const WM_LBUTTONDOWN = &H201
Public Const WM_RBUTTONUP = &H205
Dim IC As NOTIFYICONDATA

Public Sub Iconito(Tip As String, Foto As PictureBox)
    IC.cbSize = Len(IC)
    IC.hwnd = Foto.hwnd
    IC.uID = 1&
    IC.uFlags = NIF_ICON Or NIF_TIP Or NIF_MESSAGE
    IC.uCallbackMessage = WM_LBUTTONDOWN
    IC.hIcon = Foto.Picture
    IC.szTip = Tip & Chr(0)
    Shell_NotifyIcon NIM_ADD, IC
End Sub

Public Sub BorrarIconito()
    Shell_NotifyIcon NIM_DELETE, IC
End Sub

Private Sub Picture1_MouseDown(Button As Integer, Shift As Integer, X As Single, Y As Single)
    Dim msg As Integer
    msg = X / Screen.TwipsPerPixelX
    If msg = WM_LBUTTONDBLCLK Then
        MsgBox "Boton Izquierdo doble click."
    ElseIf msg = WM_RBUTTONUP Then
        MsgBox "Boton Derecho un click."
    End If
End Sub

Iconito "Texto", Picture1
[/cide]

Y para quitarlo pones:

Es importante que al cerrar el programa se borre el icono ya que sino va a quedar visible (al pasar el mouse desaparece, pero es mejor borrarlo).

Espero que te sirva, saludos.-

Private Declare Function GetForegroundWindow Lib "user32.dll" () As Long
Private Declare Function GetWindowText Lib "user32.dll" Alias "GetWindowTextA" (ByVal hwnd As Long, ByVal lpString As String, ByVal cch As Long) As Long

Private Sub Timer1_Timer()
    Dim lnghWnd As Long, Texto As String
    lnghWnd = GetForegroundWindow
    Texto = String(255, Chr(0))
    GetWindowText GetForegroundWindow, Texto, 255
    Me.Caption = Texto
End Sub

Declare Function mciExecute Lib "winmm.dll" (ByVal lpstrCommand As String) As Long
Private Sub Form_Load()
iResult = mciExecute("Play c:\carpeta~1\setup0.wav")
End Sub