*inb4msng*
Most formats don't support transparency. I suggest looking at Falco's Headgear for the format type, or look up MSNG's topic on file formats in the Tutorials and Guides section. I myself honestly have yet to attempt stage texture hacking, so I can't be certain.
Actually, only three texture formats don't use transparency, which are I4, I8, and RGB565. All the other texture formats do have transparency support, with CMPR only accepting "1" transparent color; IA4, IA8, RGB5A3, and RGBA8 support multiple transparent colors.