Assuming you’re using Blender Render,
In your Material panel , enable “Transparency” and set the Alpha setting to 0
In the Texture panel corresponding to this material, at the “Influence” tab make sure Alpha is enabled
(depending on your result in the end, you may want to enable “Premultiply” in the Texture panel too)
If you are in GLSL display, that should be all.
If you are in Multitexture display, you must first move into Blender Game mode , go to your material and change the Alpha setting from Opaque (that is default) to another setting like Alpha Clip
(note : even if you are in GLSL display, going to Blender Game mode and changing the Alpha setting will still have an impact on how the alpha will be displayed, just experiment with this setting to see what is the best one for your texture)
edit : beat to it by Richard Marklew