There are two solutions I know for your problem. The first is with a mask (monochrome bitmap black&white) where you can check the transparent and non-transparent areas and check whether the mouse clicked a transparent or non-transparent pixel. This can also be done with a pixel-perfect collision table/array.

The second method is to use the pixel array (not sure if you can access that easily from DelphiX's DXImageList, but I think it's possible) and to check wheter the pixel that the mouse clicked on has the same colour as the transparent color if so then the user clicked on a transparent pixel otherwise the user clicked on a non-transparent pixel!