Sounds like the alpha channel isn't actually being saved for some reason.. or that it's white.
Haven't used GIMP in years, but do you need to do step 3?
"Click on Layer again, Click on Transparency again, Click on Color To Alpha" - not too sure what that means, but in photoshop it's generally just a case of adding an alpha channel, and then using the paint bucket tool to fill it with black. I dunno.. it seems like you're doing everything correctly when you save/export though, so I'm a bit puzzled about that's going on. Have you removed all the layers by flattening the image? Just wondering if the background still holds a white alpha maybe..? :-/