If you just want a coloured square, it might be easier to use a texture:
Lua Code:
local p = CreateFrame("Frame", nil, UIParent)
p:SetWidth(100)
p:SetHeight(100)
p:SetPoint("TOPLEFT", 100, -100)
p.Texture = p:CreateTexture()
p.Texture:SetAllPoints()
p.Texture:SetColorTexture(1, 0, 0)
UIParent is the frame that hides when you Alt-Z. Using that as the parent of your top level frame(s) will hide all your frames also.