You'll need the NeoLemmix GSTool, which you can grab on the website (sorry, don't have heaps of spare time right now or else I'd dig up the link) or on various topics here. Make sure to get the latest version.
1. 32-bit PNG, using actual transparent pixels, is the ideal format. Failing this, any bit-depth PNG or BMP format with a placeholder color (RGB 255,0,255 is suggested and is the default one it'll try, but anything works) can also be used.
2. You can either have a seperate image for each frame, or you can arrange them in a horizontal or vertical strip of frames (in this latter case they must all be the same size; however, it's very strongly advised against having different sizes anyway, even though it's technically possible).
3. GSTool lets you select the type and size of these.
4. The file format NeoLemmix uses supports full 32-bit color (including an alpha channel). NeoLemmix itself cannot currently make use of alpha channel data other than 0 or 255 (it'll treat everything else as 255), but for RGB, you can use any colors you like, and there is no limit on how many different colors you can use (there used to be, but since moving to the single-DAT-file format there's no longer any limit).
