Scuse me cause I'm a little bit of a noob when it comes to the depth of knowledge that y'all (I'm in FL afterall

) have with Photoshop... but I'm getting into the (Be sure to say this in an Arnold Swartzenger or some movie like voice)... FLOATING BANNERS. (referring to the main banner header)...
In particular, my flair at the moment is the rounded rectangle banner with a dropped shadow.
Here's the my problem (don't worry, I'll keep this just to computer issues):
When I have the rounded edges, I'd really like to have a transparent background to preserve the rounded edges. But, since what I'm doing is a nice scenery pic, JPG's look much better.
Also, if possible, I'd like to create a rotating gif... or perhaps, create the same type of effect with a jpg if possible.
Any thoughts on how to preserve the transparent background for a jpg?
Thanks... Starke