PaintShopPro question

This is to anyone who knows how to use paintshop pro. I was wondering if anyone knows how to make the background transparent and such. For example, say you have a moon and the background is all black. How would you go about getting rid of the black so there is only the moon, or at least make it transparent. A good example as a end result would be a icon. Icons on the desktop have just a image without a border or background showing, so its just the image molding to whatever background the user chooses for their desktop.