You're going to need to make the background transparent.
Make the background a color you would never use in game (I make mine a nasty neon-pink color, some other people use neon-green).
Then, for each frame of your animation, click on the frame properties icon (the three little dots in the corner) and check the checkbox next to where it says "Transparency: Enabled"
It will then let you pick a transparent color. You want to pick the color you used for the background. Now the background should be transparent!
You can save as either a .gif or a .png with the transparent background.
For more information and screenshots: humanbalance.net/gale/us/faq.html
Hope that helped!