Saving files for web with transparency could be a bit tricky for the first time. Here is a quick tip on how to do it.
On a new layer raw a button of some kind. In order to get background transparent, hide the Background layer.
In the main menu select File > Save for Web.
In the Save for Web dialog window, select GIF file format. Photoshop will detect automatically if there are any transparent parts on the image and if so, the Transparency check box will become available. Check it and click OK to save your file. That's all!