Each pixel, or dot in your image, has four channels, e.g. Values within it.
These are:
Red: how much red colour is in that pixel
Green: how much green colour is in that pixel
Blue: how much blue is in the pixel
Alpha: how transparent the pixel is, with 0 being fully transparent and full value being fully solid
Therefore if you set the alpha value of any pixel to a non solid value, e.g. 0, when that image is drawn to the screen it is drawn transparent allowing you to have a round ball image.
You can also use this for clever blending effects of pictures and colours in your game.
For.more information see:
http://en.m.wikipedia.org/wiki/Alpha_compositing
Also please note that windows photo viewer displays all transparent or semi transparent pixels as shades of white, so you won't be able to see the alpha value of the pixels clearly unless you use something better like photoshop or gimp or paint.net.
Only certain types of image format support saving the alpha/transparency e.g. PNG and GIF. JPG and BMP do not support transparent areas.
Whatever you're using to draw your graphics in your game also has to be aware of and fully support alpha blending for these images to work correctly and not just display how windows photo viewer displays them.
Let me know if this helps at all!