If you have a multi-layered Photoshop document, things are a little trickier. But creating an alpha channel is still an essential part of getting clean keying of graphics.
Turn off the Visibility icon for all layers that are not part of the graphic you want to key.
Create a new layer and highlight it. Hold down the Option key (Alt) and choose Merge Visible from the Layers palette submenu. A new layer is created from the existing layers.
Cmd+Click (Ctrl+Click) on the layer's thumbnail icon to make an active selection. Then turn the visibility icon off for the merged copy.
Switch to the Channels palette and click on the Save Selection as Channel icon.
Save your file as a PICT or TARGA with Alpha Channel using the previously described method.