interface

uses
  Windows, Messages, Forms;

type
  TForm1 = class(TForm)
    procedure FormCreate(Sender: TObject);
  end;

const
  WS_EX_LAYERED = $80000;

function SetLayeredWindowAttributes(hWindow : HWND; crKey : DWORD; bAlpha : Byte;
dwFlags : DWORD) : BOOL; stdcall; external user32 name 'SetLayeredWindowAttributes';

var
  Form1: TForm1;

implementation
{$R *.DFM}

procedure TForm1.FormCreate(Sender: TObject);
begin
  SetWindowLong(Handle, GWL_EXSTYLE, GetWindowLong(Handle, GWL_EXSTYLE) or WS_EX_LAYERED);
  SetLayeredWindowAttributes(Handle, 0, Byte(196), 2);
end;

end.

...

const
  WS_EX_LAYERED = $80000;

type
TSetLayeredWindowAttributes = function(hWnd : HWND; crKey : DWORD;
bAlpha : Byte; dwFlags : DWORD) : BOOL; stdcall;

...

procedure TForm1.FormCreate(Sender: TObject);
var
  SetLayeredWindowAttributes : TSetLayeredWindowAttributes;
  hUser32 : HINST;
begin
  SetWindowLong(Handle, GWL_EXSTYLE, GetWindowLong(Handle, GWL_EXSTYLE) or WS_EX_LAYERED);

  hUser32 := LoadLibrary('user32.dll');
  if hUser32 <> 0 then
  begin
    try
      SetLayeredWindowAttributes := GetProcAddress(hUser32, 'SetLayeredWindowAttributes');
      if Assigned(@SetLayeredWindowAttributes) then
        SetLayeredWindowAttributes(Handle, 0, Byte(196), 2);
    finally
      FreeLibrary(hUser32);
    end;
  end;
end;