I would like to share with you this post as I wasted a lot of time to understand why the WS_EX_LAYERED flag did not work on a fresh install of Windows (my test was on a Win7, I don't know if it can be reproduced on a Win8 o.s.).
This was my code:
...
hParentWindow=hWnd;
HWND myWnd=CreateWindowEx(WS_EX_LAYERED|WS_EX_PALETTEWINDOW,_T("STATIC"),_T(""), WS_POPUP|SS_BITMAP,position.left,position.top, position.right, position.bottom,hWnd,NULL,hInst,NULL);
Then I wanted to add a transparent layer:
CWnd::FromHandle(myWnd)->SetLayeredWindowAttributes(RGB(0,0,0), 255*0.6, LWA_ALPHA);
Running the code, the window never appeared! And this was not a child window (the WS_EX_LAYERED does not work for a child window), so the WS_EX_LAYERED flag should have worked.
Why?
After spending almost a day in searching for the solution, I found that the target PC (the one that hosts the executable) had the Aero Peek theme disabled because it had never run the "Performance Information and Tools"!
So, IMHO, a programmer that is going to use the WS_EX_LAYERED in his code, must determine if the Aero Peek is turned on or not (for example by looking into the \HKEY_CURRENT_USER\Software\Microsoft\Windows\DWM key registry and check the EnableAreoPeek registry value), otherwise some windows could not be shown correctly in any PCs.
Hope this makes you to save your time!