Terry,
No mimicking, even VFP main menu can be transparent.
The WS_EX_LAYERED attribute cannot be used for child windows. That means only top-level windows (like FoxPro forms with ShowWindow=2) can be transparent. This restriction is imposed by the Windows OS.
Menus are top-level windows. They can be made transparent same as any other top-level window. Same SetLayeredWindowAttributes function to be called. The trick is in obtaining the window handle for a menu window to use it as a parameter in SetLayeredWindowAttributes call.
VFP9 has advanced version of BINDEVENT() that allows to intercept window messages. In particular, intercepting WM_DRAWITEM and WM_INITMENUPOPUP messages does the job. The DRAWITEMSTRUCT structure contains the device context for a menu window. The window handle is retrieved through the WindowFromDC call, voila!
That's true, transparency may make a menu less readable. Still I think it's possible to pick proper combination of parameters/colors to make it work. Of course, the windows transparency delivered by Vista is going to be far more superior :)