I tend to use Photoshop® Elements 3.0 to create and edit bitmaps or photos for use in visualization.  Alpha channels are not automatically generated even if you save PNG files, for example, that are capable of having the alpha channel.  Let's say you need to create a company logo image that will be used as a Bump map from the alpha channel information. Here's how:

1) In Elements click the New button to create a new file and, in the dialog box, set the Background Contents to Transparent and click OK.You'll see a checker pattern as the background in the creation panel to indicate transparency.

2) Create the logo or image with the tools in Elements.

3) Click File in the pull-down menu and choose Save for Web.

4) In the Save for Web dialog, choose PNG-24 as the file type and check the Transparency option.  Save the file to the appropriate folder.

If you open 3ds Max or VIZ and view this image it may not appear correct, but it will look like a shape on a white background. This is a function of the Premultiplied Alpha channel and can be corrected in 3ds Max. However,if you click the Display Alpha Channel button (half black, half white) in the file viewer you'll see that it is white on a black background indicating a proper alpha channel.