When using transparent colours on controls, I think the best you'll get is the actual form background (i.e. that gray colour) showing through. To achieve proper transparency effects, you'll want to be painting everything yourself, using GDI+.
This isn't quite as daunting as it sounds, the documentation is quite good and there are a lot of samples out there. If you want to draw three images that have transparent sections, it should be quite trivial. It is a matter of overriding the form's OnPaint method (or responding to the Paint event) and doing all your drawing in there.