Can I create a transparent background on a PictureBox in WinForms?

I want to make the background of a PictureBox control transparent. In the PictureBox (rectangular shape), I placed an icon (circular in shape). I want to make the icon transparent so that the other portion underneath the icon is visible.

I have tried setting the PictureBox.BackColor property to "Transparent", but it doesn't work. I also tried to set it during runtime with the Color.FromArgb method, but it doesn't work either.

Is there any solution to this problem?