and forgot to add I have to save it as web and device because I actually want it animated so it's a GIF i just made it like this for now so you guys can help me out.
You're saving it in GIF format -- and GIF only supports one level of transparency.
You probably want PNG with transparency.
And you should give your topics more descriptive titles than "can someone please help me out".
Some browsers now support animated png files, I would assume one day, photoshop will add that feature, but for now do a google search for a free converter. the source animation will need to be a sequence or a movie format such as avi or quicktime. The avi format must not use a codec as most do not support the alpha channel. There are some that do, but by selecting no codec works just fine, assuming your system can handle the load. quicktime has plenty of codecs that support the alpha channel just look for one with the + after the name. And for sequences any still image format that supports transparency and/or the alpha channel will do, such as png, tiff, psd, or tga. Quicktime pro for $20 will convert a sequence to either avi or mov if needed. But if you can find an animated png converter that supports sequences it would save you a step.
Good luck and have fun.
Oh BTW, flash also supports alpha if you need it. Just throwing it out there just in case.
As chris has pointed out GIF ony supports 1 level of transparenct Transparent or not make things like drop shadows feathed multiply blending not Posible. However you can somewhat doi it by creating your logo latge and scaling it down with Htme. Also layer mask and animation palette twend options help.
TutorialsLinked Letters [Logo or Monogram ]
The above gray background was added using HTML background-color: #808080; and the logo centered using align=center"
Link to full size animated gif http://www.mouseprints.net/JJMackAniShadow.gif open link in new window or Tab to view...