Never used Paint,net don't know will it handle/make transparent backgrounds
Start with a background (if you want a background) and add your already made transparent images to it,
Should be able to save this to most any format.
But
If you want a transparent background then you gotta Start with and finish the project in .PNG or .gif format (png is best)
Transparent images are usually in PNG or Gif format.
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I make PNG's and put them on my website, They blend to any picture,