But, in Photoshop, you gotta be sure you *save* your alpha channel with your TGA file, or it will be converted to PAC instead of PAA, and it won't keep the alpha.
When Photoshop asks you, as you save a TGA, whether you want 24-bit or 32-bit, choose 32-bit if you have an alpha. Choose 24-bit if you don't [that saves file space, I think].
Be sure that Photoshop, or whatever you use, is NOT set to compress TGA files. I saved some with RLE compression, and O2 would not open them. I assume, therefore, that they won't convert properly[?].