Hi Anna,
jpegs don't support transparent backgrounds. You'll need to save the image as either a .gif or .png if you need transparency.
.png will generally be better quality, but you'll need to find a png fix script (there's a few out there for free) for older versions of IE.
.gif is generally not great for photo-realistic images, but will do the job for most other uses and doesn't need any help with older browsers.
Best,
Nathan