Fred, to answer your question...first of all, to get transparency, at least for now, you need to save your images as a .GIF. The problem with GIFs is that it only has a capability of 256 colors - the colors aren't set, like "you can only use this red", it's really just 256 colors from your image, and anything else close to that is changed to the picked red.
Internet Explorer displays .PNG's with a light blue background (which is one of the many things people hate about it), so that won't work either. I know my avatar has that background in IE - I haven't gotten around to changing it.
So back to the sig. You need to get the background color of where your sig will be displayed - the easiest way is to take a screenshot of the page. I'm not at the computer with Photoshop right now, so I took a look at the CSS stylesheet for this site and the color you need to use is #EFEFEF. Just set that as your background color and you'll be all set.
-dan