Please help how to make this work in FullScreen Games

I really want to use rounded corners but they don't work in fullscreen games. 
I have come across this:
https://spazzarama.com/2011/03/14/c-screen-capture-and-overlays-for-direct3d-9-10-and-11-using-api-hooks/

Can you give idea how to make this work in any fullscreen app?