Ok so Lets assume this is your image. As you can see there is a background layer which is solid white. Above that is a weird shape that is dark grey, also a solid color. Above that is another odd shape that is completely transparent (blend mode overlay) with a dropshadow EFFECT around it. Above that, finally, is an oval that is set to Hard Light Blend Mode making it slightly brighten the area below it. This layer also has an outerglow which gives it that solid white outline.
If we were to merge that top layer (layer2) down this is what would happen. The layer loses its blend mode and it, along with its outerglow, adopt the Overlay Blend mode of the layer it is merging with. This is NOT what we want.
If we were to flatten the document as is this is what we would get. The shape is there and all the effects are applied, but we lose the transparency we had because of the background layer.
So, what we are going to do is grab that background layer and drop it into that trash bin you see in the lower right of the layer tab. This is what we have now. Notice the checker board background, this means that area is transparent.
Now we will save the image as a PNG. It may ask you if you want to save interlaced or something else, just click OK - don't change whatever it was set to.
Now it will appear as though nothing changed, but if you go into your folder and open the PNG you saved it will look like this. Notice how the image looks exactly as it did with all the effects and layers visible only now it is condensed into ONE layer with NO effects. It is important to note that the checkerboard pattern is still there meaning the image is transparent wherever that pattern is visible.
Here is that same complete PNG just to show you how the transparency does indeed work:
Now if you ever feel like changing an effect you simply open up the PSD document, make the changes, and resave it as a PNG.
I hope this solves your problems, if not just tell me and i will see if I can clarify. Good luck!
"Photoshop is a powerful tool, but like all tools it still needs a powerful artist to release its potential."