I had never done it before, but I just did it after taking a look at your message.
That was pretty simple with Flash 5.0, I'm not using Flash MX. That's how I did it :
- Import BMP image.
- When it's on a layer, select the image (if it's not already default selected after import)
- Click F8, choose Graphic.
- Then, you can do whatever you want with it.
- Try going in the Effect window, select Alpha with 0%... it's now transparent.
Is that what you were looking for ?