Gradient Transparent Shadow for Dialog

[Emil]

Hi all,

I have a big big Problem, I never had before. The company I work for, wants
a very special dialog. Imagine a Dialog which has rounded corner and a
gradient shadow (6-7 different gray nuances). All this shadow must be
transparent, but not the dilog itself.
__________
/ \
| |\
| Dialog | |
| | |
\__________/ |
\___________/

Well I can make the whole dialog transparent like:
LONG dwNewLong = GetWindowLong(m_hWnd, GWL_EXSTYLE) | WS_EX_LAYERED;
SetWindowLong(m_hWnd, GWL_EXSTYLE, dwNewLong);
SetLayeredWindowAttributes(m_hWnd, 0, byteSomeAlpha, LWA_ALPHA);
or I can make a color transparent like:
COLORREF crKey;
SetWindowLong(m_hWnd, GWL_EXSTYLE, dwNewLong);
SetLayeredWindowAttributes(m_hWnd, crKey, 0, LWA_COLORKEY);

But how could I make the whole shadow transparent without to affect the
dilog ? The "rounded corners" schould be 100% transparent too.
Has anybody an idea? (Code)Example? Is this possible at all? (it must be,
otherwise ... my job ...)
Thanks a lot in advance,
Emil