I did not have to look at any examples and I figured out how to do it, and I've never done something like this before.
Here's how it's done
Make a new project, but instead of choosing "Standard EXE", choose "ActiveX Control", put on that control what you would have on the form, buttons pictures, etc...
Save the project
Now open "Package & Deployment Wizard", select the project you just made
Click on "Package"
Click "Next"
On the "Package Type", choose "Internet Package"
Click "Next", "Next", etc... until you are done
Then click "Finish"
Now if you look at the package, you will see 2 files, 1 CAB and one HTM, edit the HTM with notepad, and add "width=100% height=100%", like this:
Now right click on the Desktop, choose "Properties", goto "Desktop" Tab, click "Customize Desktop", "Web", "New", choose the HTM file you juse edited, and set the HTM as the Desktop...
That's it !!!
I attached a project that I tested with, it should be pretty straight forward