Hi, Thank you.
As I said, I found only a few instructions, and mainly for Photoshop (ex: http://www.door2windows.com/how-to-create-a-windows-7-start-orb/).
I suspected that it might be an issue of transparency, but controlling it in Paint.net and Photoshop (internet manuals) are different and I do not know what to do exactly.
In addition: I save them in bmp, not jpg (and they still not work), jpg was required by the website on which I put it.