What's with that damn alpha?!

I have an alpha map problem when doing the texture stuff.
After saving the file form photoshop to vtf, running it, and checking the alpha channel, I just get white solid. It effects everything I want to mask using the alpha (here it’s for env_cubemap) because it covers everything.
Any help here?

Now some info:
I get the alpha by creating the channel of a texture in photoshop. I know the principal white=shiny black=mate (inb4 env_cubemap here).
The effect is the same, no matter if I save it BGRA8888, DX5, make it 1 or 5 bit alpha.
Tried to export a tga, but didn’t to a thing.
I’m pretty green to the more adv texturing in source.

Saw this already.

The problem was in the lack of a bg layer in photoshop.