The following example demonstrates how to create a transparent form.

Example:

procedure TForm1.FormCreate(Sender: TObject);
begin
    Form1.Brush.Style := bsClear;
    Form1.BorderStyle := bsNone
end;
{Put an exit button on it.}
procedure TForm1.BitBtn1Click(Sender: TObject);
begin
    Application.Terminate;
end;

This is another example from: Clayton Turner