I can't check the files since I'm not on my PC, but probably the problem is related to the image format. A basic thing in RO spriting (even more important that pixeling skill itself) is understanding the bmp format. All RO sprites (except for TGA sprites, which aren't going to be considered in this post) are made up of a collection of 8-bits bmp images, with a single shared palette file.
This means that if you aren't experienced enough, if you don't start with a 8-bit bmp you will most likely get errors. Each one of those images probably have it's own palette (not a shared one), so when you create the sprite, all the images except the first one will look weird, because all the images will use the palette file located in the first bmp image.
Besides, the BG color is not transparent. If you keep track of your palette pixeling your sprite in a 8 bit bmp (working with a Pixel Art friendly software is the best way to use your palette properly) you will easily apply the background color (transparent color) by getting the first color in your palette and draw the background with it. Other way to get a transparent color without using the first color in the palette (though I dislike it) is drawing the BG with magenta (#FF00FF). It's better to use the first color since you can choose any color you like (makes pixeling easier and better, since you can choose a neutral non-saturated color instead of magenta).
To fix the error: In Photoshop: Convert all your images to RGB (Image-Mode-RGB), then index (selective) the first image, get the color palette (Image-Mode-Color Table-Save (as Microsoft Palette)), index the rest of the images (click custom index, instead of selective), load the palette you've recently saved, save the image as bmp (8 bit). Create the sprite again using the new images.