Actually, the bmp format can handle transparency, if you make it a 32 bit bitmap and save it with an alpha mask. When I have tried to make transparent bitmaps in Gimp, I get a message that it cannot handle transparent bmps. Perhaps in future versions?
Here are a couple of other ways I know of to make transparent bmp files:
Method 1:
a) Create the image in any program such as GIMP, then save it as a transparent Ping-24.
b) Open that file in Gif Movie Gear (they offer a free trial at gamani.com) and save it as a bmp.
Method 2:
a) Using Photoshop Elements or Photoshop, make sure your image is all on one layer, but with transparency.
b) Ctrl+click the layer in the layers palette, to select the contents of the layer. (Or select the shape using other methods.) Save the selection under Selection... Save Selection... and type in any name.
c) Save the file as a bmp, then choose 32 bit in the dialog box that comes up.
You will know if your bmp transparency is good if you open it in Movie Gear and it doesn't have it matted onto a black background that wasn't there before.