I saw something recently about making a JFrame transparent in another question. You need to use a third party package. Sorry, I don't remember the posting. If you try searching the forum you might find it again. You can use my id as one of the keywords.
Otherwise for JComponents you need to do three things:
a) make the component non-opaque
b) set the background color of the component using a Color object that has an "alpha" value specified.
c) however you can't just set the background since it won't automatically be painted, so you need to override the paintComponent() method of the component to paint the background yourself. Something like:
g.setColor(getBackground());
g.fillRect(0, 0, getWidth(), getHeight());
super.paintComponent(g);
Or instead of using a background with an alpha value I think you can use something like this to paint the background:
Graphics2D g2 = (Graphics2D)g;
AlphaComposite ac = AlphaComposite.getInstance(AlphaComposite.SRC_OVER, alpha);
g2.setComposite(ac);
g2.setPaint(getBackground());
g2.fillRect(0, 0, getWidth(), getHeight());
Don't know which approach is better.