declare your activity in manifest like this
 <activity android:name=".yourActivity" android:theme="@android:style/Theme.Translucent.NoTitleBar.Fullscreen"/>
and add a transperent background to your layout
like this 
 <?xml version="1.0" encoding="utf-8"?>
 <RelativeLayout xmlns:android="http://schemas.android.com/apk/res/android"
android:layout_width="fill_parent"
android:layout_height="fill_parent"
  android:background = "any tranparent image name"  >
 </RelativeLayout>
Edit:
i think you are using this to open your transparent activity it finish your previous activity 
Intent intent =new Intent(mContext,yourNewActivity.class);
startActivity(intent);
finish();
remove finish from here then your new activity in on top of previous activity like this
 Intent intent =new Intent(mContext,yourNewActivity.class);
 startActivity(intent);
Hope help..