you can use the SET IMAGE COLORKEY command before loading your textures.
here's some sample code:
set image colorkey 255,0,0
`these 2 will use pure red as the transparent color
load texture "blah.bmp",1
load texture "blah2.bmp",2
set image colorkey 255,0,255
`this texture will use magenta as the transparent color
load texture "blah3.bmp",3
then after you load your textures and texture your objects (or after you just load your objects), use the SET OBJECT TRANSPARENT <obj>,1 to make those transparent pixels.. transparent.
stop looking at me!