Plastico, do you have a good paint program like Photoshop CS or Paint shop pro?
If so, you might want to use .PNG instead. DBpro uses the alpha values instead of a colorkey for transparency with .PNG
This is how I create my .PNG sprites in photoshop CS:
-Draw a sprite in mspaint (easier and better) and keep the transparent parts black (rgb 0,0,0)
-Copy the image
-Open Adobe Photoshop CS and create a new image (normally the new image sizes are the same, I think Photoshop scans the clipboard) and make sure the background option is set at "transparent"
-Paste the image
-Use the selection wand (magic wand or something) and click on the black parts (if you need to, you can right-click on a black part and select "add to selection")
-Click on layer at the top, and select "Add layer mask -> reveal all"
-Make sure the new alpha-layer is selected in the layer window
-Draw the selected pixels black
-Select the normal layer again
The big advantage of a alpha map/layer, is that it can hold shades (rgb 0,0,0 -> rgb 255,255,255) so that you can make windows that are 30% opaque, laser lights, explosions and such. Pretty cool!
I dont know how to do it in other programs though, but it should be the same.
Note: I only use .png for the bigger sprites, small sprites (16x16 pixels) are smaller in .bmp than .png

, but big ones (150x150) are 10 times smaller in .png than .bmp