You know how to use layers Lempika? From memory you click one of the tabs on the layers pallet and it will show 4 layers, Red, Green, Blue and Alpha (it may not show the Alpha channel, you may have to create it as you would any other layer, and just name it Alpha).
On the alpha layer the darker the more transparent. So black is fully transparent, and white is fully opaque.
If this is what you did and it still doesnt work, then you should check you are saving in PNG or TGA format, which supports alpha layers. From memory if you want to upload you use PNG, if you are putting in your custom texture folder you use TGA.
