Have you tried the D3DXCreateTextureFromFileEx function with the color key?
Unfortunatly that damn call takes like 14 parameters. The quick and easy way to do it, is to use D3DXCreateTextureFromFile(). What you need to do though, is open your image editor and MASK the areas you want transparent, then invert the selection (effectivly MASK'ing what you want visible) go to the chanels panel (or how ever your editor manages channels) and make sure that masked is saved as Alpha mask. Save the file as something.tga . Targa files save the mask..
The sprite should now be transparent except for what is masked.