How to make a default particle's texture?

How to make a texture like default particle material’s white blob texture? With textures that are made of me, or downloaded at asset store, are not works in game. They became colored square when I put them in game, which means their background is not invisible. So I have to make a texture that has same option with default particle. How can I get a solution?

Any sprite can replace the default particle.
This video can show you how to create one.