Your previous thread shows a screenshot, so I'm assuming your using Photoshop for this.
I struggled pretty much the same as you when I started out with PS, there you are working on a transparent layer, (you can see its transparent) and when you come to save, where is the alpha channel?
Well the solution is very simple, don't use "Save As"! Just below it you'll find 'Save for Web and Devices", open up this dialogue and choose PNG24 and check the transparency box, check that you're pixel size matches one of SLs supported sizes and click save. You will have a perfect transparent alpha texture.
This method also surrounds your shape with local color eliminating the white halo that often happens using older save techniques, don't worry about PNG, in this form its equal if not better than TGA.
(I can't see from your screen shot which version of PS your using, this feature, has been in all the CS releases I'm not sure if it goes back beyond that though.)