Help with making a transparent sprite?

So, recently I have been making a PSP theme, and for one of the XMB icons I would like to have it as Curly Brace but the only sprites I can find are not transparent. Does anyone know how to make sprites transparent in paint.net?

EDIT: You can also just give me the sprites transparent. I need:
Curly
Quote
Sue
One of Jenka's dogs
Critters
Balrog!
Misery
Malco

KTHXBAI

 

define "transparent"

If you mean you want just the sprite on a transparent background, then just use the Magic wand tool to select the black and delete it. If you want the sprite itself to be semi-translucent, then you can go to edit the properties of a layer and change the opacity. Save it as whatever format you need (png?).

The files in Cave Story are just bitmaps with rearranged file extensions. Change it to .bmp from .pbm and paint.net will open them.