The problem is a bug in XP itself.
After a screen resolution change on some pcs (but not all), the OS starts to paint semi transparent things backwards so things lower in the z-order get painted on top of those things above them.
This isn't a problem on XP 64 bit or 2003 server as Microsoft have apparently fixed this on those OSes. My feeling is that it is more common on machines with multiple monitors, but why that is is currently unknown.
This has been a problem with CursorXP and transparent windows ever since that product was released and a similar thing could be reproduced with any other app making use of semi transparency.
Rebooting will always fix it and it should remain fixed until your screen resolution changes. It has been noticed that changing res a few times can make the OS correct itself.