Oh yeah, I think I've seen that at MSDN...

Anyway, destroying and recreating it won't work if you're going to create a layered window (for true alpha transparency). Then you have to create it always on top (or floating?) and switch it to on bottom later. At least, in my experience bad things happen otherwise.

(oh hey, that's in MSDN too: "Note that this [WS_EX_LAYERED] cannot be used for child windows.")