Drawing on the screen with an overlay Window

[bergerkiller]

Hello all.

I have a bit of an issue here. I made a "Colour picker" dialog in my program with which you can pick the colour at the mouse.
It is a simple topmost form with an OnPaint handler used to draw a coloured border around the cursor:

It uses a transparency key to make the non-drawn parts of the form transparent.

It uses the following code to prevent the mouse from clicking through the screen:

        Window.FromControl(Me).ExStyle(Window.ExStyles.Layered) = True
        Window.FromControl(Me).ExStyle(Window.ExStyles.Transparent) = False

It sets Layered to True and Transparent to False. This works in Windows 7, but on a XP machine it fails.
When moving the mouse the event does not go to the forms' event handler and you can just click through.
For a screen region selector I simply made a screenshot, but I want the Colour Picker to remain updated.
(just in case you want to get the colour of an animated control)

How can I get this to work on a Windows XP machine?