How would I go about making this?

This is a client that overlays your games, and every window there is.
Overwolf adds Facebook, Skype, Video recording, Messenger and much more to your favorite games!ⓘ
http://www.overwolf.com/pictures/OverwolfOverwow.jpgⓘ

If you want to make a form available to do this In a game you can use the Topmost function and play the game in the windowed mode. And then just lower the transperency to about 30% or 40% and you're good to go.