Overlay window of another application

[velociraptor Genjix]

Hey,
On Windows there is a program that will overlay statistical information on Poker tables.
http://img375.imageshack.us/img375/1606/pokertracker.jpg
There's a large window over that Poker table all transparent except for those white boxes. You can click through it to the table underneath.
It follows the parent window (minimise/maximise also) and there is no entry in the taskbar. It is as if it is just window when it they are both from different applications.
How can I do this? I cannot find any information- particularly since I don't even know the terminology for what this type of window is called. An overlay? 		 	   		  
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