Seriously, though. PNG is better in some circumstances, GIF is safer but supports only 256 colours. If you want to use a JPG you can, but you have to include the website background colour in the JPG image instead of the white background. If the background is textured this may not work very well.
While the GIF/PNG formats allow certain flexibilities that jpeg does not, you may be better served using one of the nicest little tools that FrontPage has.
Create your images with any colour background you like but make sure that the background itself wraps the entire image, save, then insert the image into FrontPage as normal.
In FrontPage, click once on the image to highlight it and display the Picture toolbar or manually display the toolbar if you haven't already got it showing.
Now select the Set Transparent Colour tool from the Picture toolbar. It's between the Crop and Black and White tools. This will convert your image to a GIF file automatically and all you do is use the tool to click on the background of the image to render everything transparent that is the same colour as the background you used. This leaves the image detail/text visible but loses your background to allow the underlying page background colour/image to show through.
If this is not sufficient for your project, I'll have a look later on this evening when I get home at PhotoImpact 7. I keep version 8 installed on this notebook but I still have one system at home with version 7 installed so if need be, post again and I'll look at it later assuming nobody gives you the solution in the meantime.