oops, my bad...
[pascal]Image1.Picture.Bitmap.TransparentColor := clFuchsia;
Image1.Picture.Bitmap.Transparent := True;[/pascal]

It's a property of the bitmap. Not of the image.
Make sure you use a lossless image format for all your transparent images. If you were to use JPEG compression, the compression artefacts would spill into the transparent areas and the transparency wouldn't work properly.

Transparency basically is achieved by replacing a solid color in an image with the background you draw it on. It's important that you pick a color that you definitely won't use in the non-transparent parts. I like to use Fuchsia (255, 0, 255) because it's an extremely ugly color.

If you have further questions, let me know.