I'm just really curious on how to make this trainer and what program or software did he use. (Yeah, im sorry if this thread/question doesn't belong here coz i really dont know, you can move if though.)
That could be Java, C, C++ or any variety of languages it's near impossible to tell without seeing the code from it (which I imagine you dont have since you're asking how it was done). As far as how to make it, lots of code and some graphics
VB.net is more likely used for these types of things, all you'd need to do is set the main window/titlebar to transparent.
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If I remember correctly you can use an app called PEiD to find out. If you ask me I agree with nullworm, it looks like a .net app so its probably vb.net