How to make your winamp transparent

Take a look at below image.

You've right, that's a winamp and it skin is transparent. You can make your winamp transparent by configuring Skin Opacity on Preference.

Open winamp preference and navigate to Skin -> Mordern Skin and click Alpha Blending Tab.
Click on "Link All Window in All Skins" and set transparent to what ever you want. See below image for more detail.

Other way right click on your winamp and navigate to Window Settings -> Opacity and select a percent of Opacity.

Now your Winamp skin should be transparent and you can see background image while you were playing mp3. Hope this tips is useful and happy trying.