Steve,
Rt-click took care of that. I was working to get the danged thing to download the conventional way, but something was getting in the way. All done now. Ignore the PM at Muvipix.com.
OK, the .PSD is a filled Shape. No Stroke.
If one wants a transparent bubble, here are the steps in PS CS2. Do not know exactly how this translates to PSE:
Open Paths Palette, if not open. Choose the little fly-out at the top of the tab, i.e. ►. Choose Make Selection and choose 0 pixels. Now, you have the "marching ants," and a Selection. Here, I'd choose Selection>Save Selection and name it "Bubble." You have a transparent Background so you do not need to worry about it. Create a New Layer (icon at bottom of Layer Palette. If the Selection is still active (ants are still marching), you are pretty much home. If not, Selection>Load Selection and choose "Bubble." Now, back to Paths Palette and choose Make Work Path from that same fly-out menu. Set your Colors and your Pencil Tool to something very small. Use the fly-out again, and choose Stroke Path (with this new Work Path active. You can delete the Shape 1 Layer, and do a Save_As, giving it a new name. You will have a bubble with only the outline, in the color of your choice, with transparency on both the inside and outside.
Import this new .PSD into PE, or PrPro, and drag it to the Timeline.
Hunt
PS If you are doing a "thought" bubble, rather than a "speech" bubble, you might want to create a series of small circles in PS/PSE, making each one slightly larger (or you can do this with Mostion>Scale with multiple instances of one "thought" bubble), than the preceeding. Import these into the Project and animate them with Blur and Opacity too, letting them "stream" up, until the full bubble comes in. You could also do the "stream" of circles as one image, and either use the Track Matte Keying, or the Crop Effect (Keyframed) to expose the trail of circles, leading to the bubble.