Finally! Following recommendations of the W3C, I found an interesting website explaining a fix for the problem of transparent PNG showing a grey background in IE or Frontpage on Windows (IE on Mac supports PNG transparency!).
There are several options, this one uses conditional comments in IE to run a javascript, which will enable the alpha channel in IE
The solution is quite light and will allow me not to have different PNG files for IE and for other compliant browsers.
When Microsoft finally decides to patch their browser, hopefully they will also think about supporting CSS properly!
The picture above was found on the libPNG website and was created by Stefan Schneider.