CS4 it's easy
1.Make a new layer, with a TRANSPARENT BACKGROUND
2. Whip out the pen tool and zoom in, and trace the picture very carefully.
3. after you're done, right click and choose make selection, then after that click on the Rectangur marquee tool, right click again and choose select inverse, then press delete, blamo.
EDIT: Oh i saw you just did it. good job, except try and soften up the edges. Usually taking a 1-3 px blur tool at 50 strength and tracing around the edges will make for a nice finish.