You can do it through a program called
Transperizer. Unfortunately, the home page for the program and the developer are gone now, but you can still get the program from the link.
It is a REAL resource hog, but it's really cool: transparent windows, start menu, everything.....I can type a document while watching a VCD or mIRC in the background. Hope you have a really good machine....even a P3-933 with a GeForce 2 GTS feels a little sluggish, while a P2-300 with a Riva 128 really chokes.