To import a bitmap with transparency, create an alpha channel bitmap in your preferred editor (Adobe Fireworks, for example.) For information on working with alpha channels, see the documentation of your bitmap editor. Save the image as a 32-bit image, preferably PNG for best color fidelity. When you import the PNG file into Flash using File > Import, the alpha channel transparency is retained in Flash. If you're using Fireworks, see Using Fireworks and Flash Together for tips on exporting PNG files with transparent backgrounds for use in Flash.
Flash can also import transparent GIF89a images. See below for details. The JPEG format, however, does not support transparency.