There are a ton of different ways you can go about making sure you have transparency. The checkered boxes are how Photoshop shows transparency (see http://www.xeuse.com/tutorialfiles/t...ial/image1.jpg for an example).
JPEGs don't have transparency. The only web-safe file formats that support transparency are .gif and .png. To save with transparency you can either go to File > Save As and simply save it that way, or with Photoshop CS and higher you can go to File > Save For Web. I'd advise to use this option, as it creates a better web version of the file with much better compression options. When you're in the "Save For Web" options, just make sure "Transparency" is selected.
As far as making sure you don't have the little white edges around your image, that can be a little more tricky depending on what your image is of and how well it was shot. An easy way to get everything out is to use the pen tool and select your object (if your shape color is black and you switch your layer mode to "Screen" it will become transparent so you can see the edges of your path better). Once you have outlined your object, go to your "Paths" tab in your layer palette and right click on your shape's vector mask and choose "Make selection". An option box will pop up that will allow you to give some feather to your selection if you wish. Once you've done that, you can simply hit "CTRL + J" to make that selection a new layer and delete the other layer. Done!
As a little tip, when you're creating your vector path you might want to make sure to select a little inside of your object. I.E., make sure NOT you select the feathered edges of your subject in the photograph. If you crop those parts off, and then feather your selection it will create a better result and you won't have the dreaded "halo" of whatever your background color is around your image. Good luck! Feel free to let me know if you have any problems/questions.
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