During my web developer career I wrote about a dozen of ASP.NET server controls. However transparent background in Visual Studio toolbox was always a mystery for me. Because of that I usually used icons without transparent background. I noticed that Devexpress controls has those kind of icons, so I used reflector to browse their resources and investigated this issue. To make long story short, here are icon with transparent background requirements:
If you want transparent background you need to use 16x16 8-bit BMP. You can use other types of images jpeg or png, but transparent background works only with BMP. This is very strange since BMP doesn't have alpha channel, so no build-in transparency.
Select neutral to your icon color and color with it all transparent places. Devexpress usually uses Magenta (#ff00ff) for this purposes. I order to make selected color transparent you need to color bottom left corner pixel of your icon with it.