【C++代码】
#include <Dwmapi.h>
#include <tchar.h>
#include <Windows.h>
#include <Commctrl.h>

#define TRANSPARENT_COLOR RGB(0, 0, 0)

#pragma comment(lib, "Comctl32.lib")
#pragma comment(lib, "Dwmapi.lib")

#pragma comment(linker, "\"/manifestdependency:type='win32' name='Microsoft.Windows.Common-Controls' version='6.0.0.0' processorArchitecture='*' publicKeyToken='6595b64144ccf1df' language='*'\"")

LRESULT CALLBACK WndProc(HWND hWnd, UINT uMsg, WPARAM wParam, LPARAM lParam)
{
    MARGINS margins = {-1};

    switch (uMsg)
    {
    case WM_CREATE:
        DwmExtendFrameIntoClientArea(hWnd, &margins);
        break;
    case WM_DESTROY:
        PostQuitMessage(0);
        break;
    default:
        return DefWindowProc(hWnd, uMsg, wParam, lParam);
    }
    return FALSE;
}

int APIENTRY _tWinMain(HINSTANCE hInstance, HINSTANCE hPrevInstance, LPTSTR lpCmdLine, int nCmdShow)
{
    WNDCLASSEX wcex;
    wcex.cbSize = sizeof(WNDCLASSEX);
    wcex.cbClsExtra = 0;
    wcex.cbWndExtra = 0;
    wcex.hbrBackground = CreateSolidBrush(TRANSPARENT_COLOR);
    wcex.hCursor = LoadCursor(NULL, IDC_ARROW);
    wcex.hIcon = LoadIcon(NULL, IDI_APPLICATION);
    LoadIconMetric(NULL, IDI_APPLICATION, LIM_SMALL, &wcex.hIconSm);
    wcex.hInstance = hInstance;
    wcex.lpfnWndProc = WndProc;
    wcex.lpszClassName = TEXT("MainWindow");
    wcex.lpszMenuName = NULL;
    wcex.style = NULL;
    RegisterClassEx(&wcex);

    HWND hWnd = CreateWindow(wcex.lpszClassName, TEXT("My Window"), WS_OVERLAPPEDWINDOW, CW_USEDEFAULT, 0, CW_USEDEFAULT, 0, NULL, NULL, hInstance, NULL);
    if (!hWnd)
        return 1;
    ShowWindow(hWnd, nCmdShow);
    UpdateWindow(hWnd);

    MSG msg;
    while (GetMessage(&msg, NULL, 0, 0))
    {
        TranslateMessage(&msg);
        DispatchMessage(&msg);
    }
    return msg.wParam;
}

默认的透明色是黑色，可以用下面的方法更换成其他颜色。
【更换透明色的方法】
#include <Dwmapi.h>
#include <tchar.h>
#include <Windows.h>
#include <Commctrl.h>

#define TRANSPARENT_COLOR RGB(122, 122, 222) // 新的透明色

#pragma comment(lib, "Comctl32.lib")
#pragma comment(lib, "Dwmapi.lib")

#pragma comment(linker, "\"/manifestdependency:type='win32' name='Microsoft.Windows.Common-Controls' version='6.0.0.0' processorArchitecture='*' publicKeyToken='6595b64144ccf1df' language='*'\"")

LRESULT CALLBACK WndProc(HWND hWnd, UINT uMsg, WPARAM wParam, LPARAM lParam)
{
    MARGINS margins = {-1};

    switch (uMsg)
    {
    case WM_CREATE:
        SetLayeredWindowAttributes(hWnd, TRANSPARENT_COLOR, 0, LWA_COLORKEY); // 设置透明色
        DwmExtendFrameIntoClientArea(hWnd, &margins);
        break;
    case WM_DESTROY:
        PostQuitMessage(0);
        break;
    default:
        return DefWindowProc(hWnd, uMsg, wParam, lParam);
    }
    return FALSE;
}

int APIENTRY _tWinMain(HINSTANCE hInstance, HINSTANCE hPrevInstance, LPTSTR lpCmdLine, int nCmdShow)
{
    WNDCLASSEX wcex;
    wcex.cbSize = sizeof(WNDCLASSEX);
    wcex.cbClsExtra = 0;
    wcex.cbWndExtra = 0;
    wcex.hbrBackground = CreateSolidBrush(TRANSPARENT_COLOR); // 默认用透明色填充客户区
    wcex.hCursor = LoadCursor(NULL, IDC_ARROW);
    wcex.hIcon = LoadIcon(NULL, IDI_APPLICATION);
    LoadIconMetric(NULL, IDI_APPLICATION, LIM_SMALL, &wcex.hIconSm);
    wcex.hInstance = hInstance;
    wcex.lpfnWndProc = WndProc;
    wcex.lpszClassName = TEXT("MainWindow");
    wcex.lpszMenuName = NULL;
    wcex.style = NULL;
    RegisterClassEx(&wcex);

    HWND hWnd = CreateWindowEx(WS_EX_LAYERED, wcex.lpszClassName, TEXT("My Window"), WS_OVERLAPPEDWINDOW, CW_USEDEFAULT, 0, CW_USEDEFAULT, 0, NULL, NULL, hInstance, NULL); // 添加了扩展样式WS_EX_LAYERED
    if (!hWnd)
        return 1;
    ShowWindow(hWnd, nCmdShow);
    UpdateWindow(hWnd);

    MSG msg;
    while (GetMessage(&msg, NULL, 0, 0))
    {
        TranslateMessage(&msg);
        DispatchMessage(&msg);
    }
    return msg.wParam;
}

此时，如果注释掉DwmExtendFrameIntoClientArea(hWnd, &margins);的话，那么窗口背景就是完全透明的（但是不能点击窗口下面的内容）

有一个bug：休眠后唤醒计算机，aero效果消失。

所以应该加一段处理休眠后唤醒消息的程序，重新执行DwmExtendFrameIntoClientArea(hWnd, &margins);