Your making a spray for in-game? Ok.
Basic Rules:
It cannot be larger than 256x256.
It should be a exponential of 2. (i.e. 32x32, 64x64, 128x128, 256x256)
The final .vtf file cannot exceed 120kb (you only have to worry about that w/ animated sprays)
If you want to have a transparent background around the spray image then you need to save it in .tga but 1st you need to do a few steps.
Once you have your final image ready, hold control and click the thumbnail of the image in your layers tab on the right side so it selects all the pixels.
Next click on the channel tab right above the list of your layers. At the bottom click the button that says new channel.
Next fill your selection in with pure white (while still selecting the new channel called "alpha")
Go back to your layers, and add a layer beneath the one you have already and fill it entirely w/ pure gray (you can enter into the color selection the #'s 127 - 127 - 127 and you'll get the correct color of gray)
Then just save as a .tga. Make sure it you have 32.bit checked off (it is by default) after you click save
Done.