Adobe Photoshop doesn’t save an alpha channel to define transparency unless you have an alpha channel and you tell it you want to save that alpha channel. Just because it looks transparent in Photoshop doesn’t mean there’s an alpha (PSDs handle transparency independently of alpha).
Photoshop uses alpha channels for all sorts of things other than transparency, which gives it more power to do interesting things… but with great power comes great responsibility (errr… not really). You just have to be very specific about how to save out your alpha channel.
First things first, to create your alpha you will need a selection. If your PSD has transparency and you’ve already merged down the layers this is easily accomplished by cmd (or ctrl on PC) clicking the layer thumbnail in the Layers palette. Once you have this selection go to the Channels palette (there’s a tab for this at the top of the Layers palette) and create a new alpha channel by clicking on the button at the bottom of the palette that looks like a document (it should say ‘create new channel’ when you mouse over it). Now, with your selection still active, select this channel and fill your selection with white (Shift-F5 and set your fill color to white, or foreground if your foreground color is white).
Now when you save you’ll have to make sure you’re saving with a format that supports alpha channels, and that Photoshop is in fact saving the extra information. There’s a check box for ‘Alpha Channel’ in the save dialog.