Now any other person might tell you other wise, but here are some solutions and answers to your questions.

First Off, I haven't been able to import a Gif or a jpeg with a trasparent backround. I made the picture round in Paint Shop Pro 6, then created the same color as the backround in my movie (black ) So, You could do that.
Or, you could do something that might involve a little more work. Ifrst creat a picture. Two circles, the first with a texture ( works as a frame, if you dont want a frame, created it as the same color as your backround.) Then create another color with an alpha of zero. put that in side of your first circle, no you have two circles, if you do it right, you can put you picture underneath that, and you will have a circular picture. Make sure that the 'Frame' is larger than the picure