Example of what it looks like (cropped image)...
No preview pane, and dwm is running.
If I open up Explorer 'small', I get transparency (but not in all folders), but maximising the window turns the background black. I can drag the window to full size and transparency is there.
If I drag the cursor across the black, transparency appears in the selected area.
S J N: Do you have the following directory?
C:\Documents and Settings\All Users\Documents\Stardock\WindowBlinds\Vista Images\Textures
Assuming you installed on drive C of course.
If so, what about backgrounds.uis in the vista images folder?