It's called Shadow :P When you save the image, try not atchually typing "krazie.png", type "krazie" then use the drop down list to find .PNG then click it. Might work.
if you're using photoshop and you have a white background layer, delete it. i'm guessing you made part of your sig on your "background" layer?
Right click on the eraser, and go to the one with the star. Then click on the bg. and youll be all good