Open the preferences Window (Control + P) and then go to the "Skins zone" on the preferenes window and look for "Alpha Blending" on the top, then check the "Enable Desktop Alpha Blending (when requested by skin)" and Voila!
Dude, I am so looking forwed to the next version. It's in a class of it's own, for version 3 (version 2 been added buttons) i recon options for diffrent shades of transparent ie. aqua blue, orange etc. so it can fit in with differing backgrounds (not that it doesnt already) but yea it would add an extra touch.