Well this may just grill you noodle...I just started putting together my site yesterday using VSD and ran up against the same issue.
Humor me and visit
www.millsapmedia.net
See the logo in the upper left hand corner...that's an animated .gif and it is resting on multiple layers of shapes. If you go to the "about" or "contact" page you'll see the logos there as well. Yep, it's a see-thru .gif. However, the transparency did not work with a single frame .gif. What you see is a two frame (frame one cloned) animated .gif running in a continuous loop. The transparency seems to work if the .gif is animated. If you go back to my home page, you'll see that even after the animation stops the transparency remains.
I'm new to all this and just learning to crawl...html re-write was not an option for me...yet.
Cheers from the newbie!!
Michael