I have received a few mails regarding this particular problem in Windows Vista. The taskbar doesn't have transparency even Windows borders are transparent. One of those mails is as following:
I have a problem that I don't think anyone has come across or posted yet: My Vista task bar refuses to turn transparent. I enabled transparency to use Aero but while my window borders turn transparent my task bar doesn't; and it will not change color when I change that using aero, too.
Actually this problem occurs while using 3rd party software toolbars in taskbar. So if you are also facing this problem, then make sure you have not enabled any 3rd party toolbar in Taskbar.
The person who sent the above mentioned mail was using "iTunes" toolbar in taskbar and his problem was fixed after removing the toolbar by right-click on taskbar and uncheck the toolbar from "Toolbars" menu.
Many times a few branded PCs also come with their manufacturer toolbar enabled in taskbar which causes this problem.
So when you face this problem in future, make sure to disable any 3rd party toolbar in taskbar.