I have a GeForce 4 Ti4200 and I can make my taskbar transparent by doing the following:
Right-click on desktop. Properties.
Click the Settings tab and then click on Advanced.
Click on GeForce 4 Ti4200 or whatever card you have.
Go to Desktop Utilities.
Check the Enable Desktop Manager option.
Then click on Desktop Manager Configuration.
nView Desktop Manager window should open up.
Check the enable nView Desktop Manager option. Apply.
Click the Effects tab.
Check the Enable Taskbar transparency.
Type in a transparency level of whatever you want and hit apply.
Note: That only makes the taskbar transparent - not the Start Menu. As for making windows transparent, there is a program to do it - I forgot what it is called though.