Code
procedure TForm1.FormCreate(Sender: TObject);
var HW : HWND;
begin
HW := Form1.Handle;
SetWindowLong(HW, GWL_EXSTYLE, GetWindowLong(HW, GWL_EXSTYLE) or WS_EX_LAYERED);
SetLayeredWindowAttributes(HW, RGB(100, 100, 100), 180, LWA_ALPHA);
end;
HW - хэндл нужного окна.