it should be transparent by default, are you sure the background is black? (r=0,g=0,b=0), close won`t do, it has to be pure black (nm , I will download your image and check)
5 mins pass
your background was grey, not black, I modded the image to make the background black (0,0,0), so this should work for you now, computers are literal minded beasts, when it says black, it means BLACK
[edit] heres some code to show it in action, I accidentaly removed a bit too much grey from the sprite so it has transparent bits in it, just paint them back in in dark grey to make it show properly
for i=1 to 1000
circle rnd(620),rnd(460),rnd(20)
next i
get image 2,0,0,640,480
load image "sprite.bmp",1,1
x=300
y=200
do
paste image 2,0,0
if downkey() then y=y+1
if upkey() then y=y-1
if leftkey() then x=x-1
if rightkey() then x=x+1
sprite 1,x,y,1
loop