Gifs have only 1-bit transprency, i.e. Transparent or opaque.
PNG-8 (8 bit, 256clr, GIF-like) has the same.
PNG-24 (or 32, however you look at it) can contain a full alpha channel, which controls transparency as a mask in Photoshop.
Unfortunately IE doesn't support this at all.
Actually, it does, but it just doesn't use that part of itself.
There's a filter that allows PNG's alpha channels to be used, but you have apply it to every PNG yourself. Fortunately, kind people have written scripts. Google for 'Sleight' or see
www.youngpup.net.
To save an alpha PNG in Photoshop, just make sure your open image has some sweet partial transparency, and Save For Web as PNG-24. Make sure "Transparency" is checked. TADAA.
PS.
IE screws up PNG in general: it also does something with the gamma information in it and this can lead to slightly darker PNGs when displayed in IE.
