I work on a Mac, so if you're on a PC these directions might not be exact, but they should be similar.
1) Create an image with a transparent background.
2) Under the File menu, select "Save for Web". This opens up a new work window for saving the image as a gif.
3) Check the "Transparency" box in the Settings section.
4) Be sure to note the "Matte" color (also in the settings section). That's the color that the edges of your image will blend into and you can set it to anything you want. If you know the color of the background you'll likely be using the image on, then pick that (or something close to it) as your matte. If you don't, then you might have to experiment with what looks best.