short tute:
create your image (pic1)
then select the transparency (select/load selection/layer 1 transparency). then switch to your channel palette. create a new channel (pic2)
it will be called alpha1 by default. fill the selection with pure white (edit/fill.../100% white).
the white bits are what will show up, the black bits are what will be transparent. (pic3)
save your file as a 32-bit tga and convert it as normal using texview or whatever.
even if you have gradients of transparency this will work. just remember that when you create your alpha layer, the white bits are what will show up, the black bits are what will be transparent. the grey bits will be transitions between the two.