After spending almost a day in searching for the solution, I found that the target PC (the one that hosts the executable) had the Aero Peek theme disabled because it had never run the "Performance Information and Tools"!
So, IMHO, a programmer that is going to use the WS_EX_LAYERED in his code, must determine if the Aero Peek is turned on or not (for example by looking into the \HKEY_CURRENT_USER\Software\Microsoft\Windows\DWM
key registry and check the EnableAreoPeek registry value), otherwise some windows could not be shown correctly in any PCs.
Hope this makes you to save your time!