My favorite is: Create a panel with a Bitmap with a alpa - cannel. (Example: *.TGA) You can create this Bitmap with Paint.Net or Gimp. Both Programms are free.
The other way: Set all what should transparent to black(color 0,0,0) and set the OVERLAY flag from the Panel.
well but i must say this is a double post! Anyway, PNG files i like better, because it makes the alpha channel auto, depending on the back layer.. if using photoshop...