Well, first off you'll need to know that .bmp files can't save an alpha channel, just in case you were trying to use those. You'll have to use something like .tif or .tga instead.
I don't use Photoshop, but I think I can help with PSP. The best way to do it is create a new mask - I'd use "From image", "This window" and "Source opacity" settings, but you're free to do what you like.
Now then, from this, you won't see much change in the image. What you do next is go back to the 'Masks' drop-down menu and choose to edit the mask. You colour palette should now switch to greyscale. Applying different grey values to the image will now set the alpha channel - black for see-through, white for opaque and greys for translucent.
When you're finally done, I don't know if it's necessary, but it's probably a good idea to go back to 'Masks' again and choose to save the mask to the alpha channel. Now save the image in a format supporting the alpha channel, and load it into DB!
Hope this helps!
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