Never had a problem, as Grey says, just draw against a transparent background and make sure you're saving the alpha channel as well, as I hear that one or two programs just merge the channels together so that you lose the alpha data.
Load the images as normal (I always use the default flags) and make sure you have SetBlend ALPHABLEND before you draw them.
Load the images as normal (I always use the default flags) and make sure you have SetBlend ALPHABLEND before you draw them.