Beth, I don't think that transparency box has anything to do with how it renders. If you want it to render without the background, go into "options", click on the "display" tab, and look on the bottom left and make sure that PNG Transparency  on "enabled". 
Now your flames will be rendered as PNG files, and you can layer them any way you want in PSP or PS or whatever program you are using.
Does that answer your question? I'm lousy at explanations .. 
Rita