I try to blend the character into game but I still cannot remove the blue color in the sprite sheet and discover that the white area of sprite is semi-transparent.

Before that, the color D3DCOLOR_XRGB(255, 255, 255) is set in D3DXCreateTextureFromFileEx. You will see the fireball through the sprite.

After I change the color to D3DCOLOR_XRGB(0, 255, 255), the result will be

Now, I am trying to remove the blue color of the sprite sheet and my expected result is something like that

Until now, I still cannot figure out how to do that. Any ideas?

void initPlayer()
{
    //  Create texture.
    hr = D3DXCreateTextureFromFileEx(d3dDevice, "player.png", 169, 44, 
         D3DX_DEFAULT, NULL, D3DFMT_A8R8G8B8, D3DPOOL_MANAGED, 
         D3DX_DEFAULT, D3DX_DEFAULT, D3DCOLOR_XRGB(0, 255, 255), 
         NULL, NULL, &player);
}

void renderPlayer()
{
    sprite->Draw(player, &playerRect, NULL, &D3DXVECTOR3(playerDest.X, playerDest.Y, 0),D3DCOLOR_XRGB(255, 255, 255));
}

void initFireball()
{
    hr = D3DXCreateTextureFromFileEx(d3dDevice, "fireball.png", 512, 512,
         D3DX_DEFAULT, NULL, D3DFMT_A8R8G8B8, D3DPOOL_MANAGED,
         D3DX_DEFAULT, D3DX_DEFAULT, D3DCOLOR_XRGB(255, 255, 255),
         NULL, NULL, &fireball);
}

void renderFireball()
{
    sprite->Draw(fireball, &fireballRect, NULL, &D3DXVECTOR3(fireballDest.X, fireballDest.Y, 0), D3DCOLOR_XRGB(255,255, 255));
}