As I understand it, the WindowBlinds trial version has some limited funtionality, that some features of the paid version are not fully implemented: ie. transparecy, etc. As with most trial software, the WB trial is a teaser to give you a basic idea of the program's features and whether you like it enough to purchase it.
Having said that, transparency and other effects may also depend on your video card's ability to display them. For example, you need a WEI (Windows Experience Index) score that's 2.5 or higher to enable them... this can be checked in Control Panel> Performance Information & Tools.
As for the wallpaper not changing, that may be because the skin didn't include one and/or you have the 'apply included wallpaper' button unticked... if it is in fact available in the trial version, that is.
Other than that I can think of nothing else at this point. I'm no expert, but if you can post the 'System Information' from WindowBlinds here, somebody who's more knowledgable than I will come along and shed more light on it for you.
