Any image format that supports an alpha channel will be fine, like PNG, TGA, TIF, PSD. Make sure when you save the image in Photoshop, you save it with an alpha channel.
If you want to animate the figure, I'm not sure that photoshop is the best software to do it. The example in the sneak peek video was created in a 3D program I think, and imported as an image sequence.
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Elvis Deane!
The particleIllusion FAQ
particleIllusion Resources and tutorial CD
Astounding Adventures