Infrared spectroscopy of substances on a OHP film
Your are going to analyze both, the OHP foil alone, and the part of the OHP foil that is covered by the coating and calculate the difference of the later to get the data of your coating material.
If you do want to do the classical way (transmission IR), just cut-off a little of the sample (a hole puncher as in the office may do the job, too), attempt to grind it with KBr and press the pellet as normal.

If you want to stick to ATR, place the foil on the dish without prior sample preparation.  This is quicker, and to some degree allows a space-resolved analysis, too -- the window (center dish of the table) of a single reflection geometry instrument (like the one below, Nicolet iS10 with smart-ATR-IR module) is of about 3 mm in diameter).  The window material of the ATR module may be Germanium (as here), yet there are instruments with a window of Diamond, too.