Paint + .pngs = How do you make part of it transparent? in Off Topic
Then how do you do it in GIMP?
To elaborate on the 'it doesn't' replies. Windows uses the same PNG library for all of its programs, try viewing a PNG with transparency in IE, the transparent parts turn crappy 'Windows grey', pretty sad. It's mostly because the library in use for them doesn't support it, I believe there are ways to update it to show (and save) it properly, but I've never looked further into it.