Ok it depends on which version of Photoshop
7.0 or higher and its all automatic. Just start a texture with a transparent background and then when you work over that its transparent nature will be saved.
So if you have a window for instance you can draw the frame with a brush that is 100% Opaque. For the glass just draw over it with a brush that is 10% opaque and the window will look a little dirty.
Then save as .tga 32 bit and you are done
IF you are using <7.0 then you have to use something called an 'alpha channel'
The Layer / Path / Channel window should be open to see this.
When you start a image in photoshop there are 4 channels in that image. A red channel, a blue channel a green channel and a RGB channel with them all mixed together.
What the alpha channel does is store transparency.
Click on the channels and make a new channel. By default it will be called an alpha channel. This channel can only have black or white in it (or grey.. but no colour) White is solid, black is transparent.
Go to your layer part and draw something - say a window frame. When it is finished select it and then go to the alpha channel. Fill the selection with white. Your window frame is the only solid thing in the texture.
Now invert the selection and select a dark grey brush. Cover the glass of the window with this and then go back to the layer.
In the layer you need to cover the window pane with an actual cover. You can make this a sold cover as the alpha channel will force it to become transparent.
Save it as 32 bit .tga and away you go.
There is a much better version of this linked on the
www.flashpoint1985.com forums. If you do a search for transparency there you'll find it. It has pictures and everything.