Actually, it's very easy...

Start a new app and place the following in the formCreate:

[pascal]MakeInvisible(form1);[/pascal]

Add the following procedure:

[pascal]procedure MakeInvisible(const Form: TCustomForm);
var
hRgn: Cardinal;
i: Integer;
begin
with Form do
begin
BorderStyle := bsNone;
hRgn := CreateRectRgn(0, 0, 0, 0);
for i := 0 to ControlCount - 1 do
with Controls[i].BoundsRect do
CombineRgn(hRgn, hRgn, CreateRectRgn(Left, Top, Right, Bottom), RGN_OR);
SetWindowRgn(handle, hRgn, True);

end;
end;[/pascal]

Then in form onPaint:

[pascal]PaintDesktop(Canvas.Handle);[/pascal]

That's it, your form is invisible