Hi,

Transparency is created in GIMP by adding an Alpha-channel to the image.

In GIMP 1.x:
right-click the image and choose Layers > Add Alpha Channel (if I
remember correctly)

In GIMP 2.x:
Use Layers > Transparency > Add Alpha Channel

Then you can select parts of the image and erase the color using
CTRL+K (= Edit > Erase).

You are not doing anything 'wrong', but some things in GIMP just
aren't that obvious. Almost all image-manipulations can be done with
GIMP, but one should now how to achieve it.
So be sure to check out some GIMP-tutorials and see how others have
been using GIMP.

For banners in GIMP: if you want to create a GIF-animation, then you
can create multiple layers. When saving GIMP will ask what to do with
these layers: Flatten the image or Save it as an animation.

Greetings,

Martijn
http://gimp.pagina.nl
http://gimp.start4all.com (will never be finished, I guess)