A Gobo texture is a special texture. The only way to to create a gobo texture is from an image. If you have an image, bitmap, jpeg, gif etc, use the create gobo texture command. If you have existing geometry that you want to make into a gobo texture you will need to export it as an image then create the gobo.
There may be other ways to create a transparent texture, but this is the easiest. Your final scaled image should be 2"x2"