Thanks for the links!
EDIT: Ok, I finally got everything working right, here's a quick how-to:
I did this with The Gimp, so download and install The Gimp (Windows/Mac/Linux) http://www.gimp.org/
It's a free Photoshop basically.
1. Grab the images you want to use (save them to your computer, I just saved everything to my desktop). Open them all up in The Gimp (just keep opening them, it will open them all in one Gimp session.
2. In the title bar, they say the size in pixels (default). Length x height. Add up the length of the images you are going to use.
Example, I used two engines, 4 boxes, and 1 caboose. Each engine was 79 pixels, each box was 87 pixels, and the caboose was 57 pixels. All graphics were 22 pixels high. That equals to an image that needs to be 563x22.
2. On one of images, go to File, New. Make the new image the size figured above, and expand advanced options. In the "fill with" box, choose transparency and hit ok. You will now have a new window with a checkered background.
3. Go to your first engine and go to Edit, Copy Visible (do not just use copy). Go to the new image window and click Edit, Paste. Position exactly where you want it, since once you lose the selection around it, it's there for good. Do this with the next cars or engines.
4. Once you are done, go to file, save as. Name it something with the .gif extension. I named mine COBox1.gif and It will ask to Export. Make sure "Merge Visible Layers" and "Convert to Indexed using default settings" are selected and click Export.
5. You can unselect GIF comment or change it at your wishes. Click save and your done.
Note: I did this and for some reason it still showed white on the fourms. I found out this was because of Picture Trail hosting it. I completely forgot I could just use my own web space to host it and now it works fine, so if you get a white background, check there.