SLumpED is
very finicky when it deals with converting pictures that are not in the 2.0.x palette (which is any new picture you would make in MSPaint). Even if you made a new document in MSPaint and gave the picture the correct cyan color for transparency (color 247 in that picutre), SLumpED would not convert that picture correctly. The only way to get around this is to draw your sprites on a picture that is already converted to the 2.0.x palette like the picture I gave you.
You can also draw on this picture below.
It
much easier to use XWE for this. It automatically converts pure cyan into transparency.