It's just because it is a .png file, thus there is no background. Take a look in the layers pallette at the bottom right, does your background default to black? If you Ctrl+Shift+N, fill with any colour, and place it underneath the player layer on the layer palette it should change the background. If you see what I am getting at.
When I create a shape / layer with the pen tool, I never quite know how to change the colour of what I created ?
Any help (H)
Again, key is layer palette. Pen your layer, at it will likely autofill. On the layer palette, double click the little image icon, it should bring up a window where you can eyedrop a colour or change the RGB value.