A TGA file can only be transparent if it contains an alpha channel. Once you have your shape in a layer, hold ctrl and click the layer (ctrl+shift if the shape consists of several layers), then go to channels and make a new one. A channel called aplha channel (or something like that) should appear, it's completely black, just fill your s election with white. The white fill is the magic key, since ít defines which part of the TGA is visible. All the black is the transparent areas. You could even give it a bit of gaussian blur to smooth the edges further (about 0,3 px). I guess it's a multi-frame image, so make a rectangular selction over the first frame in the aplha channel, click the move tool, hold down alt+shift and drag a copy of the selction to the right. Repeat this until your alpha channel is filled. Then save the file as TGA. You can't have a transparent background in a TGA the same way as a PNG, you have to use alpha channels.

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