If the image you're working with loads into PS as a background (it would if it started out as a format without an embedded alpha, such as JPG, GIF, BMP, etc.), select it in the layers palette and double-click it to transform it into a regular layer (the "background" cannot have an aplha channel). Now you can add a layer mask to it. The layer mask will be the layer's alpha channel (you can view it in the channels palette if necessary). PS Stores all Alphas in the document (whether layer masks or just standalone alphas) as "channels". Alternatively, you can just go to the channel pallete and create a new blank alpha channel, but that won't automatically be applied to any specific layer.