Rawr, if you use paint, heres what I do yo.
save it as a 24bit bmp. Get Giffy, you can set the transparency here too, and save it as a gif using giffy. Then, use the GIF2MNG from the graal setup. This is how I do all my graphics :]
Also, sinse a while ago people were having trouble finding giffy, ill temporarily put it on my vip hosting :]
http://oasator_pk.vip.graal.net/giffy.zip