Are you exporting or saving the image? If you export it as a jpeg or gif a white background will be added because those file types do not support transparency on layers. You need to make sure that you are just saving the file as a PSD, or photoshop document. Start a new graphic and follow the previous instructions and remove the background layer, then go file – save as – (then save it as a PSD).
When you import it the image After Effects will ask something about merging layers, just hit ok.
You can also export the image as a PNG file and it will preserve any transparency. But I always just use PSD. Keeps layers in tact so you can easily make changes later.
Does this help?