Here's the Klicko preferences window:

The popup menu in the window title is important. If it's set to "Excluded Applications", all windows belonging to the applications listed in the window will get click-throughs; if it's set to "Included Applications", only those applications won't get click-throughs. That is, the popup changes the nature of the application list.
You can add any running application by clicking on the "+" button; a pop-up menu will appear. You can also drag applications (running or not) from the Finder into (and out of) the window, of course. (If you have several copies of an application installed, putting one of them in will work for all.)
Beyond that, at any time you can direct any click to a background window by holding down any modifier key. Some applications don't use standard windows or use them in a way that Klicko can't activate properly; if you find that clicking on a window has no effect at all, hold down a modifier key and try again.
Klicko relies on the Accessibility interface, which usually must be turned on in the System Preferences. If you'd rather not do that, you can authorize Klicko to ask for an administrator password, and from then on work without that option (Klicko has to be in the main /Application folder for this to work). Some applications may not implement Accessibility in a way that Klicko understands. Please use the exclusion list in such a case.
Note that there's no way to disable the highlighting of the window "traffic light" buttons, so, to minimize user confusion Klicko always allows click-through on those buttons. Klicko will also always pass through clicks on windows belonging to background or full-screen applications, to dialogs, palettes, and similar interface elements, and to the Finder desktop.
Code Signing: Klicko is codesigned for extra security. Basically, this means that you can verify if the application's executable has been signed by a specific developer, and that you can have some assurance that code or resources have not been tampered with by third parties.
To check that Klicko's signature is intact, open Terminal, paste in the following command, and press the Return key:
codesign -dvv -r- /Applications/Klicko.app
(assuming that you installed Klicko in the main /Applications folder.) You should see several result lines in the Terminal. Authority=Rainer Brockerhoff should be present, and identify the author. The last line should end with ...root = H"4cbb97c74336f7ee6aa566122a5e7688e1c725dc" and uniquely identify the author's signature. Now run the following command:
codesign -vv /Applications/Klicko.app
If the application is intact, this should display valid on disk; otherwise you'll see code or signature modified. In the latter case, the application will not run when double-clicked.