I think that's with the paid version only,though
If he's talking about the window frames to be transparent, then they might not be showing transparency because of two reasons:
1. You didn't configure it to be transparent [If so, go to Transparency and blur and adjust the opacity]
2. It doesn't work with the free version
Are you talking about explorer backgrounds?
If it's the backgrounds, not the frames...see Wizard's post. If that doesn't work, maybe the skin won't work like that. In any case, I'll try and download the skin to see if it works on my machine.