my PDF explaining how to make PNG icons using IFX. even if you don't have IFX, look at the explaination and you (hopefully) will understand how transparency works with PNG's.
I do this all the time. PNG icons are great!
also, if you make screen shots, don't save to jpg's. you will end up with ugly artifacts, jpgs being looosy.
save as PNG, iff, any format that has no compression.