How to make a Small Window with effect on it

Basically i was wondering how to make a window to be translucent and blur anything that is behind it. I am a Beginner on this Language and any help on this subject is greatly appreciated. Thank you.

Example of what my project should result in:

http://i45.tinypic.com/zvu2vt.png

Thanks for any Help. I greatly appreciate it.
I'm going to assume you're running windows, though if not its the same logic. That kind of stuff is handled through your OS specific API's because how windows are created and then handled is different for every operating system. Windows has the Win32 API so I would start reading up on that, info for which can be found here - http://msdn.microsoft.com/en-us/library/ms809754.aspx

Next thing you may want to learn in OpenGL or (more likely) DirectX. They handle your graphics card at the machine level and provide many optimizations such as acceleration that will allow you to pull off fancy effects without slowing down your computer (noticeably). Info on DirectX can be found here - http://msdn.microsoft.com/en-us/library/ee663274(v=VS.85).aspx

and for OpenGL - http://www.opengl.org/wiki/Getting_started

Also, a great place to start is finding OpenSource applications that use similar features which you can read through the code of and try to understand a little bit of how this feature works.
Alternatively, you could use a library that interfaces with the OS specific APIs, and I would recommend this over use of the system-specific API. I know for a fact that QT4 can do what you want it to:
http://qt.nokia.com/

-Albatross
Yes that is also a great alternative. System specific APIs can be hard to learn and Qt especially is nice to use.
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