Pixellated vs. Anti-Aliased (Smoothed) Graphics

I have created a document that contains two types of graphics, screen captures of dialog boxes (sometimes resized if too large), and vector PDF exports from AutoCAD.
The main document is created in Word and the screen captures are pasted into Word, blank areas are created in Word for the other graphics and the Word document is exported to PDF.
The AutoCAD PDF graphics are transferred into the main PDF using the Acrobat Pro, Edit Object function.
When viewing/printing the final PDF, these are the results:
AutoCAD vector PDF graphics always look great on-screen and printed
Screen capture graphics look great when printed
Screen capture graphics sometimes look very pixellated on-screen. This occurs when there are two documents open at the same time. If the PDF is opened in Acrobat or Reader and there are no other PDFs being viewed, the graphics look ok. If another PDF is being viewed then the graphics in the second PDF are pixelated.
As an example, here is the same document opened twice for on-screen viewing, first one on the left, second one on the right.

Sounds good, but I need some hand-holding.
I'm not creating the graphic in Photoshop. It's already created, and I'm pasting it into the document.
When I paste a graphic into a Photoshop document, it appears on a new layer anti-aliased on a white background. I don't know how to control the characteristics of a layer that hasn't been created yet to make it transparent (i.e. the layer that is created when I paste the graphic into the file). If I try to merge the layer containing the graphic with a clear background (as you say, checkerboard in PS), the graphic appears anti-aliased in white on a transparent background.
So, how do I paste my graphic into a Photoshop document "anti-aliased on a clear background"?
Thanks.

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