I don't know if paint.net supports transparency but I'll show you how to do it on gimp:
First download it here:
GIMP - Downloads
Once you install it, open it and you'll get a screen like this.
Use the NRI viewer to convert it into a usable file format and open it in gimp. For example, lets take this picture:
And open it in gimp:
Go to Layer>Transparency>Add Alpha Channel
to add transparency to the image.
On the toolbox, choose the fuzzy tool
Now click on the magenta portion of the picture to highlight it (you'll see little ants crawling around the space), and then press DEL. If it's kind of hard to click, use the Zoom Tool
or press Z.
Do the same for all the pieces.
When you are done, click save as, and save it as either .PNG for large files OR .GIF for small files. You HAVE to use one of these file formats, otherwise the transparency will be lost.
Should look like this when done: