Win32 programming: random messages on the screen

I've always wondered how typical keygen programs, when run, doesn't create a window on screen. Or rather, technically, it's still a window, but there are no title bars, no _ □ X buttons, no borders, and even the background is transparent. Well, after viewing some basic Win32 tutorials and meddling with windows style I managed to satisfy my curiosity:

Next step, to make it drag-able!