Icon transparency (howto?)

Hi,

Could someone explain me how to make some color in my application icon
transparent? I’ve tried to use

SDL_SetColorKey(icon, SDL_SRCCOLORKEY, mycolor)

prior to

SDL_WM_SetIcon(icon, NULL)

but it only makes areas filled with “mycolor” black, but not
transparent.

-Maxim
P.S. I’m using 8bpp icon and tried both under X-Win and Win32.