Hier ist mal der Code:

#undef UNICODE
#define _WIN32_WINNT 0x0500

#include <windows.h>

// Variablen
HWND mainwindow;

// MessageHandler
LRESULT _stdcall MessageHandler( HWND hWnd, UINT uMsg, WPARAM wParam, LPARAM lParam )
{
	switch( uMsg )
	{
		case WM_CLOSE:
			exit( 0 );
			break;
	}

	return DefWindowProc( hWnd, uMsg, wParam, lParam );
}

int CreateMainWindow( )
{
	HINSTANCE instance = GetModuleHandle( 0 );

	// Window-Klasse
	WNDCLASSEX wndClass = { 0 };
	wndClass.cbSize = sizeof( wndClass );
	wndClass.style = 0;
	wndClass.lpfnWndProc = MessageHandler;
	wndClass.cbClsExtra = 0;
	wndClass.cbWndExtra = 0;
	wndClass.hInstance = instance;
	wndClass.hIcon = 0;
	wndClass.hCursor = LoadCursor( 0, IDC_ARROW );
	wndClass.hbrBackground = (HBRUSH)(COLOR_BTNFACE+1);
	wndClass.lpszMenuName = 0;
	wndClass.lpszClassName = "MeineFensterKlasse";
	wndClass.hIconSm = 0;

	RegisterClassEx( &wndClass );

	// Window
	unsigned long style = WS_POPUP;

	RECT area;
	SystemParametersInfo( SPI_GETWORKAREA, 0, &area, 0 );

	mainwindow = CreateWindowEx( WS_EX_LAYERED, "MeineFensterKlasse", "MeinFenster", style, 
		area.right-280-20, area.bottom-300-20, 280, 300, 0, 0, instance, 0 );

		SetLayeredWindowAttributes( mainwindow, 0, 192, LWA_ALPHA );

		ShowWindow( mainwindow, true );

	return 0;
}

// Main-Funktion
int _stdcall WinMain( HINSTANCE hInstance, HINSTANCE hPrevInstance, LPSTR lpCmdLine, int nShowCmd )
{
	// Hauptfenster erstellen
	CreateMainWindow( );

	// Hauptschleife
	MSG msg = { 0 };

	while( msg.message != WM_QUIT )
	{
		MsgWaitForMultipleObjects( 0, 0, 0, INFINITE, QS_ALLINPUT );

		while( PeekMessage( &msg, mainwindow, 0, 0, PM_REMOVE ) )
		{
			TranslateMessage( &msg );
			DispatchMessage( &msg );
		}
	}

	return 0;
}