Now I have a program, but I don't want it to be closed by other users who use that computer,too. What should I do, is there a program to ask for a password whenever some one tries to close it?

The simplest solution would be to create multiple accounts on the system. This way you can leave the program running on your login and log off and they can't modify what you have running(unless they have the password to your account). If your talking about making the program itself invisible id say no. but it does depend somewhat on the program.