Here's another way:

In a code module
Code:
Option Explicit

Private Declare Function GetWindowLong Lib "user32" Alias "GetWindowLongA" (ByVal hWnd As Long, ByVal nIndex As Long) As Long
Private Declare Function SetWindowLong Lib "user32" Alias "SetWindowLongA" (ByVal hWnd As Long, ByVal nIndex As Long, ByVal dwNewLong As Long) As Long
Private Const GWL_STYLE = (-16)
Private Const GWL_EXSTYLE = (-20)
'Requires Windows 2000 or later:
Private Const WS_EX_LAYERED = &H80000

Private Declare Function SetLayeredWindowAttributes Lib "user32" (ByVal hWnd As Long, ByVal crKey As Long, ByVal bAlpha As Byte, ByVal dwFlags As Long) As Long
Private Declare Function GetLayeredwindowAttributes Lib "user32" (ByVal hWnd As Long, ByVal crKey As Long, ByVal bAlpha As Byte, ByVal dwFlags As Long) As Long
Private Const LWA_COLORKEY = &H1
Private Const LWA_ALPHA = &H2

Public Sub MakeWindowTransparent(ByVal hWnd As Long, ByVal alphaAmount As Byte)
    Dim lStyle As Long
    
    lStyle = GetWindowLong(hWnd, GWL_EXSTYLE)
    lStyle = lStyle Or WS_EX_LAYERED
    SetWindowLong hWnd, GWL_EXSTYLE, lStyle
    SetLayeredWindowAttributes hWnd, 0, alphaAmount, LWA_ALPHA
End Sub
In the form
Code:
Option Explicit
Private Declare Sub Sleep Lib "kernel32" (ByVal dwMilliseconds As Long)

Private Sub Form_Load()
  Dim iX As Long
   For iX = 10 To 255 Step 10
       MakeWindowTransparent Me.hWnd, iX
       Me.Show
       DoEvents
       Sleep 200
   Next

End Sub

Private Sub Form_QueryUnload(Cancel As Integer, UnloadMode As Integer)
  Dim iX As Long
   For iX = 255 To 0 Step -10
       MakeWindowTransparent Me.hWnd, iX
       DoEvents
       Sleep 200
   Next

End Sub