Hi Luis
by experience the BMP images are the best ones for using on vfp form.(natively used )
you can convert any picture and add transparency and save as BMP format (pixelformat.format24bpprgb).
for this you need the gdiplusX library (download the stable version on VFPX-version 20).
this link describe this and give code for that purpose.

http://weblogs.foxite.com/vfpimaging/2008/12/15/convert-your-buttons-to-bmps-keeping-transparency-with-gdiplusx-revisited/

you can easily put all your pictures in one folder and transform the code to iterate all images and convert them by a clic to transparent BMPs usable as well on vfp forms.
even you have problems with some PNGs, these can converted as transparent BMPs.
also if you have a set of beautiful PNGs,can convert to transparent BMPs as well.