Well Its the same technique I use when I make my huds its simple.
Actually I might do a small tutorial right here for you now.
This method works with Photoshop and the Nvidia .dds plugin.
1. Create a New Canvas making sure the Background Contents is Transparent.
2. Now simply create your texture. What ever you wish to be transparent leave it transparent in the document. Example shown below:
3. After you created your texture and made the parts you want transparent, (transparent in Photoshop) its time to save your file.
4. Click Save as and select the .dds format.
5. Now heres the part that will make sure you texture is transparent. Set your plugin setting exactly the same as below:
6. Now after you have set the settings exactly the same as above hit save.
There you go, by doing this the .dds plug in creates the Alpha map for you, saves a lot of mucking around doing it yourself.
Hopefully thats enough for you to understand how to do it.