well its more of a 2D graphics thing.
you may have heard of RGBA before. the A is for Alpha which hold the transparency information as a matte. R - red G - green B - blue.
If you are using a jpeg it wont have an alpha channel, because jpegs can only store 3 channels, RGB. you will need to use a tiff or targa. These can contain the additional transparency information.
Are you familiar with Photoshop? in the channels tab (next to the layers tab, bottom right) you can add a new channel and crete an alpha. but remember to save it out as a tiff or targa.