Transparency

Hello, new here. And I have a pretty simple question. I use Adobe Photoshop Elements 2.0 and when I try to make an image transparent (like you can see the image but the white parts are transparent) it doesn't work. I click on the transparent button when I save the file but in the end it doesn't go transparent when I use it on LJ or any other site.

For example in this icon I made:

The white parts in that icon (next to the minimovie) aren't transparent. If you go use it as a LJ icon and comment on someone's post then you can't see the blue parts behind it.

I hope I'm making sense... I asked some people about this already and they don't see what I'm doing wrong.