it must be pure magenta for NOZ to recognise and apply transparancy (by design noz take color value which is pure magenta #ff00ff and replace this color with alpha by the time it render the skin - i assume)
here's pure magenta color setting
also be sure to save the file as BMP 24 bit, do not use save file as web (and then choose bmp), but choose 'save as' and then choose BMP
so the file won't be optimized for web, which, PS will try to optimize the image and loose some color info, your magenta won't be #ff00ff again
here's a tip, use photoshop's layer feature (that's a lack of feature in paint), create a layer just for your magenta, and work with other layer for main image/skin. it's easier than paint in it's 1 layer only canvas