Wojtek, depending on whether you use PNG-8 or PNG-24, the transparency will be different. Also, make sure the "Matte" (Background if transparency is set, but nothing there) is set to none. (Since setting it to none will do one of two things: white or transparent)
Also, make sure the picture isn't loaded into a FRAME, (IFRAME should work just fine though) as that will tend to change the matte depending on the browser, and not the image itself.
Otherwise, if this still doesn't help you, try doing a GIF transparency (Make sure it's dither or pattern. Use Pattern for designs that are more technical.)