What I like to do is use a UserControl rather than a picturebox.
Create a usercontrol and add the following properties
VB Code:
  1. Option Explicit

  2.  
  3. Private Sub UserControl_Initialize()

  4.     UserControl.BackStyle = 0

  5. End Sub

  6.  
  7. Public Property Get MaskColor() As Long

  8.     MaskColor = UserControl.MaskColor

  9. End Property

  10.  
  11. Public Property Let MaskColor(ByVal New_MaskColor As Long)

  12.     UserControl.MaskColor() = New_MaskColor

  13.     PropertyChanged "MaskColor"

  14. End Property

  15.  
  16. Public Property Get Picture() As Picture

  17.     Set Picture = UserControl.Picture

  18. End Property

  19.  
  20. Public Property Set Picture(ByVal New_Picture As Picture)

  21.     Set UserControl.Picture = New_Picture

  22.     Set UserControl.MaskPicture = New_Picture

  23.     PropertyChanged "Picture"

  24. End Property

  25.  
  26. Private Sub UserControl_ReadProperties(PropBag As PropertyBag)

  27.     UserControl.MaskColor = PropBag.ReadProperty("MaskColor", vbWhite)

  28.     Set Picture = PropBag.ReadProperty("Picture", Nothing)

  29. End Sub

  30.  
  31. Private Sub UserControl_WriteProperties(PropBag As PropertyBag)

  32.     Call PropBag.WriteProperty("MaskColor", UserControl.MaskColor, vbWhite)

  33.     Call PropBag.WriteProperty("Picture", Picture, Nothing)

  34. End Sub
Now to use it, draw it onto your form, let's call it MyControl
VB Code:
  1. MyControl.MaskColor = vbWhite

  2.     Set MyControl.Picture = LoadPicture("whatever.gif")
If move over your existing controls you will see it has a transparent background