On Windows
Step One:
Create a transparent icon using either an icon editor, or a site like rw-designer. Save it as transparent.ico
.
Step Two:
from tkinter import *
tk = Tk()
tk.iconbitmap(default="transparent.ico")
lab = Label(tk, text="Window with transparent icon.")
lab.pack()
tk.mainloop()
On Unix
Something similar, but using an xbm
icon.