Hmmm, i remember certain extensions being "damaged" by certain programs... the bitmap file with an alpha channel NOT being recognized because of weird compression, or color system, or something. Even rmxp will react weirdly with those wacky compressions. To be sure, format the bitmap like that:
If you have photoshop, re-save it in "PNG" with an alpha layer, then when the file extension preferences shows up, select:
first box: none
second box: adaptable (last choice)
If you don't have a good bitmap editor... then you're in trouble, and should get one quickly.