Here's a nice tutorial
(by Axeman, actually) on how to create particle textures.
An alpha channel - well, OK, I don't know exactly
what it is, but it basically means that a part of your picture is transparant. This is what they use for the particle textures, for if they didn't have alpha channels, all the textures would be squares. The alpha channel lets some part of the picture be, as I said, transparant, and other parts, opaque. In Photoshop (and other similar applications), transparancy is demonstrated by little grey and white squares, like a checkboard.