With a pointer from [USER=109010]@Rich54[/USER], I think Ithat this is a MacOS issue not a Photoshop issue and will show you the steps below on how to create the desired icon with pictures.
Note that too minimize any confusion, I initially save the transparent PNG its own folder to make the images a bit more simple.
First step, find your PNG file with Finder, highlight and copy with CMD + C or right click on the file and use copy. This will copy the image to the clipboard.
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Next step is to right click on an empty desktop area and create a New Folder. You can rename the Folder later as you see fit.
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Next right click on the just created Folder and click on the Get Info option:
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The next step is to just single click the little icon in the top left corner so it shows a border around it now:
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Now all you have to do is paste from the clipboard the PNG file into that little icon with either Edit > Paste or more simply CMD + V:
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Now the New Folder is represented by your PNG file on the desktop and you can move it around and the desktop and other icons will show through the transparent area.
Now you can rename you folder to the name you want and your are don.
Hope that was your issue and that this helps
John Wheeler