You must derive your own dialog from CAknDialog.
There is a lot of example for deriving your own dialog, one that I recall is inside the ImageConverter sample in a class named CShowInfoDialog.
The ImageConverter sample is available for download in this forum.
Now after deriving your own dialog, you need to override the
Inside it just draw a rect that fills the entire screen using a transparent color as show in the snippet below.
void Draw( const TRect& aRect ) const;
Now you have covered the whole screen with transparent white (you can change it to transparent grey of course). Add your controls and draw other things like text etc.