You can't remove the icon and have the process still running, but you can hide the icon. Right click on some unused area of the lighter blue area of the task bar by the clock, select customize notifications, then find the icon for the program in question and set it to always be hidden.
is there a registry tweak that allows me to remove one of the icons on the system task bar by the clock? There is one icon that I want to remove, but keep the task and process running w/o the icon being there. I am using Windows XP MCE.