Oh I see your problem. A transperant Gif IS actually tranpserant. If you set a backrgound color on your picturebox, your image will blend right into it, perfect transperency. However, the background image/color of your picturebox is not transperant, and will cover things beneath it. How is your game set up, is the entire map on picture or are you using some kind of grid? If you were using a grid, you might be able to find a way to change the 'character's' backround image to the image of the picturebox underneath him. This would work, but to me it does seem like a hard way to accomplish something that should be simple.
PS- I tried it out, and gifs and pngs have the same problem.