This isn't a tutorial ... it's from a group I belong to.
I've never done it myself .... so its the blind leading the blind!!
Did you export the frames from AS to PSP?
Karen this is what I do and I don't have any problems with it being a white background... Maybe it'll work for you.
Make your animation in PSP (in your frames) Making sure they are merged and transparent there.
Save as a PSP file for each frame
1.Go to animation shop
3.Same size as the first image frame
5Centered in the frame with the canvas color (not checking scale frames to fit)
Add your psp frames that you just made
view the animation in a web browser (you can choose the color to make sure it's transparent)
Maybe this will help...