It was documented in Windows XP but I think it was Vista that really promoted the use of that effect ("Aero" was it?). Happy to be proved wrong about Windows 2000 but I don't recall seeing any documentation on MSDN back when I was playing around with Windows APIs.

I remember I pinched the API guide for XP thinking "if it works in XP then it must work in Windows 2000" and the reason I remember that so vividly was because it didn't work properly. In fact it caused a kernel panic. Which was pretty much the only time I managed to upset Windows 2000 badly enough to cause a "blue screen of death".