Need graphics help!

I've spent all day re-creating a Visio file of our squad's logo. When I tried to save it as a .jpg, it wouldn't make the background transparent (it should only be the circle). When I try to save it as a .gif, it makes the background transparent -- but it also makes the inner circle transparent (rimmed in red, with the triangle inside it).

I've checked and that circle is filled with white & it's solid -- when I view it as a .vsd, it's opaque.

Anyone know how I should be saving this, so it will look all pretty and stuff? (Never mind that it's an ugly logo; I didn't design it.) :)

TIA!