Really bad screenshot is quite an accurate reference to the way some programs do it. They copy the windows screen to a texture, and colorkey on the desktop color. You can find the evidence if you start a paint program and find the color their using (it's not your desktop color - it's changed, often to a dark ugly greeny blue)
There's a better way than this, but I got no idea about it, Seems the people who work it out stay tight lipped about it.