I went and made a program that did what Glass2k did a few days ago in an attempt to do exactly what you showed in the screenshot of Control Panel. While my attempt at THAT didn't go so well...
Here's what I managed with this.
And here's the program. Attachment 53930
You can choose which windows you want transparent and you can turn the transparency on and off for each window, works for every window, so far as I have tested. And the taskbar is not affected by this program, the taskbar is a whole different program.
If you find any problems with it, tell me and i'll be happy to fix it.
EDIT: You have inspired me to keep trying with my first attempt (to make the background transparent)...So i'll get to work on that, I guess.