I could find the solution. Put this code at onCretae and you will defeat the purpose of "Show desktop".( as SAKryukov said )
HWND ProgmanHwnd =
::FindWindowEx(
::FindWindowEx(
::FindWindow( L"Progman", L"Program Manager"),
NULL, L"SHELLDLL_DefView",L""),
NULL,L"SysListView32",L"FolderView");
::SetParent(m_hWnd, ProgmanHwnd);