Thanks everyone for your help!. I adjusted the opacity in the Explorer background for one of the styles and that worked.
It was my fault for not looking more closely in the background tab...as I though that section was strictly used to change the desktop image.
LightStar, to answer your question. Here are the names of some styles that have transparent Explorer windows by default:
Azur lite, Blue eyed, Echo, Kahlua, Diamond, Corporate, Laguna, Lantana, Matinee 7, Midland, Precision, Prelude, Slow Burn.
Again, thanks Everyone for your patience in answering my questions!