How to prevent leaving an Icon in System Tray on exit?

You have several options:

1) Write a root structured exception handler that ensures the destruction of the icon before exit. This one takes some effort - but you can basically add your own unhandled exception handler to Windows which will be called in the case of many forms of "boom" which will then allow you some last-ditch clean up opportunity.

2) Write a monitor application that sleeps on your main processes handle, and kills the icon when it wakes up (the main application has died). To make this latter scenario work well, you'll likely want the main process to NOT kill the icon itself - or you could create a way to tell the monitor app that it should exit w/o destroying the icon (have the monitor app sleep on both the process handle and a named event - and if woken by the event then it simply dies w/o cleaning up after the main app).

There is no way to do this. Windows does not poll your program to see if it's still alive. Therefore, your icon will stay in the system tray until you either tell it to leave (normal exit), or the user does something that initiates a call to your program (such as mouseover). Only then does the shell know that your program has died and it needs to clean up your icon.