png files can be created in most graphics programs. Just make sure that you save them as .png.
As far as animations in DX, they are really just frames stitched together horizontally. Check out some of the zoomers for a few good examples. Most of them use two bmp's or png's. One normal one, usually one frame. the other gets displayed upon mouseover. Say for instance it's ten frames. You have to make sure that each frame is the same size, as well as being the same size that the static (one frame bmp) is.
Hope this sort of explains it. Just woke up, so I am kind of fuzzy headed right now.

Try this link for .png's with Photoshop.
http://www.ozarksweb.com/png/pngalphatranps.htm
and this one for Fireworks.
https://www.stardock.com/products/desktopx/tutorial/tips/PNG/fireworks/fireworks.htm

HTH

DJ