OK, I think I have found it out. When I set my screen color depth to 16bit then there will be error, but if 32bit then no problem. Maybe it's a new bug ? 
I can verify this as reproducible on Win XP.
Funny thing is, which is the bug, the fact that it becomes transparent at the 16-bit level, or the fact it isn't at the 32-bit level?
If you open the graphic in an editor, the only region stored as transparent is the outside. The inside of the arrow is still white.
Also, if you want to see something else funky then run the sample and change (reduce or increase) your screen resolution.
Suddenly the gif is seperated from the main Gui!
EDIT: Well curiouser & curiouser- when I open the image in an editor and my colour depth is set to 16-bit, then both the outside border and the inside of the arrow show as transparent. Edited with colours set to 32-bit and only the outside shows as transparent, the inside of the arrow shows as white!
So, must be a windows & gif & colour depth weirdness independent of AutoIt.
Edited by ResNullius, 09 August 2007 - 02:41 AM.