In Photoshop 6 and 7 in the box with the "Layers, Channels, Paths" ... the channels tab shows your "rgb, red, green, and blue channels"
Have an existing image up, mask whatever parts of the image you want to show on the screen, go to the channels tab and on the bottom is a little square icon with a circle in the middle of it ... hit that and it creates an alpha channel of whatever wasn't masked.
Then save as a 32 bit TGA and off ya go