I ran into this problem as well with D2006. The solution I used is similar to François'.
I have a TPngImageCollection component that I collect all the images in at design time. You will need to find unit PngImageList off the web. The TPngImageCollection component has the advantage that you can have a collection of PNG images of differing sizes.
At run-time on startup, I assign the TImages from each of the collection members:
Image1.Picture.Assign (ImageCollection.Items [0].PNGImage) ;
Image2.Picture.Assign (ImageCollection.Items [1].PNGImage) ;
Image3.Picture.Assign (ImageCollection.Items [2].PNGImage) ;
etc
Bingo - you can produce your PNG originals with alpha transparency (I use PhotoPlus 6.0 from Serif - free and very capable) and show them in a TImage.