I'll get you started:

How to make a really cool shaped window
Put this into a module:

VB Code:
  1. Public Function GetTransparencyRgn(ByVal TheForm As Form) As Long
  2.   Dim hrgn As Long, hrgn2 As Long
  3.   Dim Temp As Long
  4.   Dim I As Integer, J As Integer
  5.   Dim BeginX As Integer
  6.   Dim PrevX As Integer
  7.   Dim PrevEX As Integer
  8.   Dim Rows As Integer
  9.   Dim Flag As Boolean
  10.   Dim BeginRow As Integer
  11.   Dim H As Long
  12.   Dim ht As Integer, wd As Integer
  13.  
  14.   hrgn = CreateRectRgn(0, 0, 0, 0)
  15.  
  16.   BeginX = -1
  17.   PrevX = -1
  18.   PrevEX = -2
  19.   Rows = 1
  20.  
  21.   With TheForm.PicMask
  22.     H = .hdc
  23.     ht = .ScaleHeight
  24.     wd = .ScaleWidth
  25.   End With
  26.  
  27.   For J = 0 To ht
  28.     Flag = False
  29.     For I = 0 To wd
  30.       ' change the RGB numbers here to change the transparent color
  31.       If GetPixel(H, I, J) <> RGB(255, 255, 0) Then
  32.         If BeginX = -1 Then
  33.           If PrevX <> I Then
  34.             Temp = CreateRectRgn(PrevX, J, PrevEX, J)
  35.             BeginX = -1
  36.             CombineRgn hrgn, hrgn, Temp, RGN_OR
  37.             DeleteObject Temp
  38.             Rows = 1
  39.           End If
  40.  
  41.           BeginX = I
  42.           If PrevX = I Then
  43.             If Not Flag Then BeginRow = J
  44.               Flag = True
  45.               Rows = Rows + 1
  46.             End If
  47.             PrevX = BeginX
  48.           End If
  49.         Else
  50.           If BeginX <> -1 Then
  51.             If Flag Then
  52.               Rows = Rows + 1
  53.             Else
  54.               BeginRow = J
  55.               Rows = 1
  56.               Temp = CreateRectRgn(BeginX, BeginRow, I, J + Rows)
  57.               BeginX = -1
  58.               CombineRgn hrgn, hrgn, Temp, RGN_OR
  59.               DeleteObject Temp
  60.             End If
  61.  
  62.             PrevEX = I
  63.           End If
  64.         End If
  65.       Next I
  66.       If BeginX >= (I - 1) Then
  67.         BeginRow = J
  68.         Rows = 1
  69.         Temp = CreateRectRgn(BeginX, BeginRow, I, J + Rows)
  70.         BeginX = -1
  71.         CombineRgn hrgn, hrgn, Temp, RGN_OR
  72.         DeleteObject Temp
  73.         PrevEX = I
  74.       End If
  75.   Next J
  76.  
  77.   GetTransparencyRgn = hrgn
  78. End Function

And in the form:

VB Code:
  1. Private Sub Form_Load()
  2.   Dim hrgn As Long
  3.   hrgn = GetTransparencyRgn(Me)
  4.   SetWindowRgn hwnd, hrgn, 1
  5. End Sub

Put a PictureBox onto the form that is named PicMask. Set its Visible property to false, AutoRedraw to True, and ScaleMode to 3 - vbPixels.

Next, make a BMP file that has the shape you want. The transparent color is yellow (RGB 255, 255, 0) but you can change it easily (see the code for details). Everything that is yellow (or whatever color you set) will be see-through.

Note also that the form's ScaleMode property must be 3-vbPixels.