Choose Colors again, view palette transparency will now be one of your choices. Click on it. Because you put a shadow behind your text, there will be some traces of that color surrounding the letters. (That's why you match your background to the predominant color of your background before you start the banner). If your text looks fairly clean, you can save your banner now. Be sure to save it as a gif file instead of a jpg, since JPEG does not support transparency.
Here's the banner I just saved: it still looks a bit messy, so we're going to work on it some more.