unable to FillRect with transparent brush when double buffering

Question

As the title says I'm unable to FillRect bitmap to be transparent. I know when creating the bitmap it is not monochrome as gray brush works fine but I have no way (that I'm aware of) to check if it is colored or grayscale. I also am aware that by default the bitmap is black hence why I'm trying to change it to transparent. I am also aware that I'm likely not cleaning up the dc's correctly however that is not the main issue. I'm trying to solve the black background by making it transparent.

#include<windows.h>
#include<iostream>

int main() 
{
    // Init DC
    HWND Wnd = GetDesktopWindow();//GetConsoleWindow();
    HDC ScreenDC = GetDC(Wnd);

    // Init Rectangle
    RECT ClientRect;
    GetClientRect(Wnd, &ClientRect);

    // Init Double Buffer
    HDC MemDC = CreateCompatibleDC(ScreenDC);
    HBITMAP MemBM = CreateCompatibleBitmap(ScreenDC, ClientRect.right - ClientRect.left, ClientRect.bottom - ClientRect.top);
    HBITMAP OldBM = (HBITMAP)SelectObject(MemDC, MemBM);

    // Create Brush and Pen
    HPEN Pen = CreatePen(PS_SOLID, 1, RGB(255, 0, 0));
    HBRUSH ClearBrush = (HBRUSH)GetStockObject(GRAY_BRUSH);

    // Set Brush and Pen
    SelectObject(MemDC, Pen);
    SelectObject(MemDC, ClearBrush);

    POINT p;

    while(!GetAsyncKeyState(VK_RETURN))
    {    
        // Clear and Draw
        GetCursorPos(&p);
        FillRect(MemDC, &ClientRect, ClearBrush);
        Rectangle(MemDC, p.x, p.y, p.x+20, p.y+20);
        BitBlt(ScreenDC, 0, 0, ClientRect.right - ClientRect.left, ClientRect.bottom + ClientRect.left, MemDC, 0, 0, SRCCOPY);
    }

    SelectObject(MemDC, OldBM);
    DeleteObject(ClearBrush);
    DeleteObject(Pen);
    DeleteObject(OldBM);
    DeleteObject(MemBM);
    DeleteDC(MemDC);
    ReleaseDC(Wnd, ScreenDC);

    return 0;
}

I've tried many different ways of setting transparent background to no avail. The end result is a rectangle appearing over the mouse and following it across the screen however the background shouldn't be black I should be able to see other windows.