Yeap - First, using your favorite image or graphics software, create 2 or 3 versions of your hotspot icon and save them in PNG format. Make the first totally transparent, the second and third visible (i.e. containing your icon).
Now add any hotspot from the component window. Look at the Properties of the hotspot (Properties & Actions Window) and you will find you can "browse" for an image file of type = jpg, bmp, gif, png. This will allow you to assign your new transparent PNG to the "Normal" hotspot state.