are you saving the file as a .png when you're saving? i think .png is the only file format that supports alpha transparencies.
the other thing is, any area you have selected as an alpha channel needs to be a very light color. if you notice all the .png's included with the game use alpha channels over white, or very light gray areas of the image. this is to allow the most amount of color show through.
as far as actually creating an alpha channel, open your image, go to the channels tab on your layer navigation floater, select add new channel(which will be a small icon near the usual delete(trash can) icon), title it Alpha 1(as that is what it is titled in the .png's from the game....other names could work, but let's go with what we know works). now the easiest way to visibly edit your alpha channel, is to make all your channels visible. then erase the red area(looks and works just like the quick mask) from whatever you want to be your semi-transparent area.
then save as a .png, and make sure there is a check in the box beside alpha channels in your save options.
that's about it.
but as stated before, the lighter the area you have selected as your alpha channel is, the more you will be able to notice the color changing.
one other thing, have you downloaded the plug-in for photoshop that allows Photoshop to handle .png's correctly? if not, it is located here:
http://www.lucasforums.com/showthread.php?s=&threadid=116358)