It cannot work. And even if it worked, it would not really make a hole.
You can make a hole if you modify
of your form (windows).
If this is a
, you just need to assign the property
to some region with a hole.
See MSDN help page with code sample: http://msdn.microsoft.com/en-us/library/system.windows.forms.control.region.aspx
It will create a "real" hole: if you place your application in z-order on top of some other application, activate your application and click mouse in the hole, the application underneath will be activated.
You can create regions and hence windows of almost any shape, with holes or without them.