As far as I remember paint does not support transparency. You need a more sophisticated software for that.
Use paint.net as it is basically paint with more difficult controls but ultimately supports "transparencies" Think of "transparencies" as a color, shows up in the paint editor as "checkerboard grey and white", and when saved it just lets you see whatever color is behind it where it is presented. My signature actually uses transparencies, it isn't literally a round shaped canvas with a rectangle next to it, it simply uses "transparent" color above and below the rectangle and on each corner of the circle, where it is completely see-through. You can even use "shades of transparency", where 50% black shows and 50% whatever is behind it appears through the black (like the "shadow" on the bottom of the circle on my signature). Again, any advanced editor program has it, photofiltre and such, but I would use paint.net