As far as I know, there is no way to get rid of the foxpro desktop window (_SCREEN). _SCREEN as you know is the parent object to all forms and therefore needs to exist.
I have had the same request as yours and the only thing that I can do is to hide the _SCREEN by setting its Visible property to .F., I then tell my form to be the Top level form by setting the ShowWindow Property to 2.
In this case, your application will execute, you will see the VFP desktop appear and then dissapear and your form will then be your top form.
Here is a sample of my initial prg that calls my form:
_SCREEN.Visible = .F.
SET SYSMENU TO
SET EXCLUSIVE OFF
SET CENTURY ON
SET TALK OFF
DO FORM myForm
READ EVENTS