Look through the JFrame API description and start from the getContentPane() method. I don't think you are supposed to have things transparent, but I think that is your starting point.
If you want transparent colours, try the alpha attribute in java.awt.Color.
There are ways of combining two images of different transparency: see for example, Horstmann C, Cornell G, Core
Java 2: vol II advanced features, Upper Saddle River NJ: Prentice-Hall (Sun Microsystems Press) (2004), pages 500-508, or do a search on Porter Duff OR Foley van Dam Feiner.