This came to me as a surprise but yes Windows allows you to create hidden task. This options is provides at the time of creating the task and can be seen either by the owner of the task creator or the Administrator of the computer
Go to Control Panel > Administrative Tools > Computer management > System Tools > Task Scheduler.
As soon as you hit new look for a check box which says Hidden. Just create the task and keep it checked and you will be able to create the tasks which are not visible to others. In Windows XP, this used to be a visible task except that it was protected by user account.
This is specially useful for administrators or software programs which do not want to show unnecessary tasks to users which otherwise is useless for them.