If you only need a message map, I suggest that you don't use MFC at all. Just using plain old WIN32 APIs frees you from loading DLLs and eases the deployment.
If this is no problem, you should use the SDI application. Simply removing the dialog class is not enough as you need a window to have a message map. You can also use some handy classes here on CP for tray icons.
Hope this helps
Behind every great black man...
... is the police. - Conspiracy brother