You can use any colour that you want in DBPro:
cls rgb(255,255,0)
set image colorkey 255,255,0
get image 1,0,0,640,480,1
cls
paste image 1,0,0,1
wait key
You'll see that this code is pasting the screen with transparency active - the screen will stay black. Sprites also use the SET IMAGE COLORKEY to determine the transparent colour.
You should try and use a better paint program though - one that already has the ability to save images with transparency. As steven said, Photoshop is one, Paintshop is another - in fact most art packages will allow you to do this now.
See if you can get a demo of paintshop from a magazine cover CD.