Ok, here's what i did - I opened PS, made 272x96 picture, chose 0-0-255 color for part that i want to be transparent, saved it, opened in Wally, made transparent texture with "{" in front, made .wad file, selected that .wad file in VHE, made func_wall with render Mode-Texture and FX Amount-255, and then when i compiled map that part which needed to be transparent wasn't, it was just plain blue.
So, where's the problem? Because, I think I did everything right. And with exiting transparent textures it worked fine.