Use a graphic editing program and create .png images with a transparent background. .png can be viewed correctly in most browsers (even IE7 now).

First, I'd like to know how to make certain boxes transparent.
if your talking about the sideboxes used by zen cart, this can be done in the stylesheet by making the background-color: transparent

The other question I'd like to know is how do I create buttons for a sidebox, so they link to a specific page?
I'm guessing here that you mean i.e. the privacy page, contact us etc.
See the first paragraph above for creating your buttons.
As for linking, you'd have to re-define these with your button image.
(i.e. define('BOX_INFORMATION_PRIVACY', 'privacy.png ');) the link is already created in the information box so it will now show your button and not text.