Using PS.
Finish your image.
Merge all the layers (ctrl+shift+E I think).
Ctrl+click on the picture of the one layer you just formed (should select it all).
Go to "Channels" and add a new channel (it'll be called alpha).
Press "D" and then "X" (this resets the colours to B&W and then switches them so white is selected).
Now press "SHIFT+BACKSPACE" (with the alpha channel selected). This should make the area you want transparent look red.
Save as a .tga file.
DONE.
EDITJust noticed you don't have PS, I read "PSP9" as "Photoshop" instead of "PaintshopPro9", lol. You could do it in the trial.
Shame FPSB is fucked, there are some good tuts on there.
EDIT2Here you go