Hmm, a little tricky if we can't see what's going on, but I'll try to help. What were all your steps up until know? Did you define the background around the character transparent properly? Where did you generate your palette, through Photoshop or Fighter Factery?
One thing that ensures that all your sprites show up properly is to use PCX Clean option after you converted all your images into pcx format and generated a palette. After that, when you add your pcx images to your .sff, make sure you click on shared palette and auto crop. Finally, Line up your sprites with the crosshair (the plus sign in the middle of the panel) under each and every standing sprites, preferably between your character's feet.
That's all that I can think of. If all else fails, there are some step-by-step tutorials on making a character on Youtube. Hope this helps.