Transparent images

So I am reading images into a game I am making, I was wondering if anyone could tell me how to make the white square around the character transparent?

Saving as a .png doesn't work as the whole picture becomes transparent... Is there a different special format I must save it in? Or some propery about the image I must change? Right now they are jpegs...

Oh, and of course I am reading them into a c++ program

Thanks!