The Lock Method: Explained

Method 1 - Brute Force:
This method is what I would call "Brut-forcing" the issue. A timer is set to check the desktop window ever so often to see if it needs to reapply the transparency. (Depending on how you set the Timeout interval, this option can be CPU intensive.)

Method 2 - Advanced: (Defualt in Win9x)
(This does not work on WindowsNT)
This method is smarter than the first method. With this option enabled Simply Transparent filters what is sent to the List-View control of the desktop.
This option is not CPU intensive at all.

NOTE: These options are grayed out when you are on WindowsNT, and you will only be able to use Option 1.