Transparent Banners & Icons

I know this has been asked so many times, but I didn't understand any of the entries in the memories. (Also, a lot of the images in older tutorials are not showing up for me.) Hopefully someone knows what I'm talking about...(using PSP8)...



I've been trying to make banners and icons with transparent round edges.

When saved in paint shop pro images, the edges remain transparent. However, when I save it as a png, it ends up like this:

Photo Sharing and Video Hosting at Photobucket

(With white borders. Obviously you can't see them here but they would show up on a colored background.)

Is there any way to save these that I would be able to upload them with transparent edges?

Thank you. :)