As far as I know, the transparency of a control depends on its parent control (As noted in the link you've given), meaning that in order to have the effect you are looking for, you need to have one picture box nested into another picture box which is impossible given that a picture box is not a container.
You can however, use a custom container control instead of a picture box for the parent image.
The most basic control would be a panel. Just set the background image of the control and put the second picture box in it.
Another solution, would be to use one single picture box and manage the rendering manually.
This is by far the best solution as the pseudo-simulated transparency of the other method is quiet inefficient.