It depends on if you want to have a texture or a object (like a standalone face as a fence).
For making materials the how-to's above are correct.
If you want to have a "standalone-object" like fence, people, tree whats-of-ever you'd have to do it like this:
import image with transparent parts (png file) explode image trace the object and delete transparent parts to get correct shadows to automate that you could use TIG's ImageTrimmer plugin (search the forums) which does that job for you