Matteo Riso posted an solution for creating transparent Tabsheets in his article http://www.delphi3000.com/articles/article_2843.asp, unfortunately it does not work for Delphi 4. The solution is described below.

{
  Before I begin I should mention that you will need
  to enable XP theming by adding a manifest to your
  own project. An easy way to do this is either
  through the TWinXP component (mentioned in Matteo's
  article) or through Jordan Russell's XPTheme.pas
  which can be downloaded from the misc section on:

  http://www.jrsoftware.org/

  That should be it for starters! Now add a new
  event procedure to the delphi form that
  contains the TabControl:
}

  TfrmOptions = class(TForm)
    ...
    procedure SetTransparent(Sender: TObject); {  <<<  }
  private
    { Private declarations }
    ...
  public
    { Public declarations }
    ...
  end;

{
  Now add the procedure definition at the end of
  your form's unit:
}

procedure TMyForm.SetTransparent(Sender: TObject);
var
  style : integer;
begin
  if Sender is TWinControl then
  with Sender as TWinControl do
  begin
    style := GetWindowLong(Handle,GWL_EXSTYLE);
    if not ((style or WS_EX_TRANSPARENT) = style) then
    SetWindowLong(Handle,GWL_EXSTYLE,
       style or WS_EX_TRANSPARENT);
  end;
end;

{
  Now click on each TabSheet (TabSheet as opposed to
  the TabControl itself) and set its OnShow Event to
  SetTransparent.

  That should do the trick.
}