From the MSDN Library article:
The alpha values in the window are honored and the rendering atop the blur will use these alpha values. It is the applications responsiblity for ensuring that the alpha values of all pixels in the window are correct. Some GDI operations do not perserve alpha values so care must be taken when presenting child windows as the alpha values they contribute are unpredicitable.
Make that most GDI operations, like FillRect(). The brush you created is drawn with 24-bit colors, the alpha will be 0. Which makes the window transparent. You'll need to switch to, say, GDI+. Text is particularly troublesome. As well as legacy Windows controls, like EDIT and LISTBOX which draw with GDI.