It doesn't work for me. I made sure it was Lite, I changed the theme, etc.
Go to C:\Windows\Resources\Themes\aero. Make sure you have aerolite.msstyles.
Oh wait, it looks like you have a custom shell. Check the options in that. A lot of custom shells have an option to make the thing opaque. Also, there is an .exe on the web that makes the taskbar opaque as well.
EDIT EDIT: What happens if you put on a high contrast theme?
