Are you using the composite extension for the xfce window manager, or are you using compiz-fusion?
As far as I know, for the xfce window manager, it's possible to change the transparency on the fly, by holding down alt and scrolling up and down with the scrollwheel. However I don't think this is permanent.
For compiz-fusion, I think it's possible to exclude windows of a specific type from the transparency settings.
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