Creating an Alpha Channel in photoshop is simple. Select the area you want to be trasparent using the marque tool "dancing ants", go to window/channels and click the "New channel" Button at the bottom of this window. Boom, your done. (about 20 other ways this can be done, just happens to be my favorite)
To my knowledge only PNG-8, GIF and TGA support trasparency.. im sure theres others, but who the hell uses them.