Vista only natively supports transparent borders, but you can make the entire window transparent by using the free program Glass2K. It's no longer officially supported, but it's small and light on system resources while giving you the ability to create custom settings (adjust the transparency in 10% increments) for each individual application window.
Hope this helps,
I just got windows vista. I was wondering if it was possible to make a whole window transparent. It would be really cool to make windows media center transparent.