This might help you:
http://today.java.net/pub/a/today/2008/03/18/translucent-and-shaped-swing-windows.html
This might help you:
http://today.java.net/pub/a/today/2008/03/18/translucent-and-shaped-swing-windows.html
JFrame can not be made transparent as it is a heavyweight component. Only lightweight components such as JWindow can be made transparent.
Since Java 1.3 there's a trick which allows to make partially transparent windows, or windows fading in (I usually use this for my splash screens), or special FX (such as shadows):
Example which creates a window with a semitransparent shadow using this technique: http://www.eclipsezone.com/eclipse/forums/t17720.html
Not much help to you but Java7 will support transparent and shaped windows: More info here. These are available already in Java 6u10 but not publicly, ie, you need to use an unsupported com.sun... class that might change in future and break your program.