I found the solution. To fill the rectangle region with semi-transparent brush, we need to use GdiPlus
objects.
Here is the Sample Code:
void FillSemiTransparentRegion(CDC *pDC, CRect rc)
{
if (pDC == NULL || rc.IsRectEmpty() || rc.IsRectNull())
return;
Graphics gr(pDC->GetSafeHdc());
SolidBrush br(Color(100, 0, 0, 0)); // Alpha, Red, Blue, Green
gr.FillRectangle(&br, rc.left, rc.right, rc.Width(), rc.Height());
}