Windows Vista's Glass theme makes the borders of windows and the taskbar (and the Sidebar) transparent, however it makes everything opaque again when a window is maximised. There is a patch available that modifies the UXtheme files to set windows, the taskbar and the Sidebar to stay transparent when a window is maximised.

Full details are here. Unfortunately it requires a reboot, but you have to expect that when you're patching system files.

Note: You will need to use the Beta 3 version of the app if you are using Vista SP1. Beta 3 is linked to at the bottom of the download page.