What Guest is trying to say here (though lacking in comprehension) is that AutoHotkey doesn't have that function built in but you need to directly call Win32 API functions GetWindowLong and SetWindowLong with DllCall to first retrieve the GWL_EXSTYLE (= -20) value of your target window, then turn on the bit WS_EX_TRANSPARENT (= 0x20) and then set the new value back.
Use WinExist() after Gui +LastFound to get the gui window's handle (HWND)
The API functions are documented in msdn:
http://msdn2.microsoft.com/en-us/library/ms674871.aspx
Read the manual and search these forums for examples using DllCall. (I'm too tired to write an example right now)