Locking Windows usually means you need to step away from the PC and temporarily secure it from being viewed by others what's on your screen. On the other hand, wanting to view the download progress means that you will still sit by the PC, so what's the point of locking it in the first place?
Transparent Screen Lock doesn't work with wither Vista or Windows 7, at least I haven't found anyone interested in using it anyway, and download sites such as Softpedia and BrotherSoft didn't mention anything.