Very usefull Information for ones that don't know how to do it:
(For Creating a DDS file with Alpha Channels)
You can use any paint program for the first step:
1) Open up your Image, and make everything you want NOT transparent white (Transparent = Invisible, to see the background behind it).
The rest of the picture you have to make BLACK (This is the color for Transparency, it won't be shown ingame)
Then save this only black and white as a .BMP
For step 2 I used a program called "DXTBmp" By MWGraphics it's easy to use I think
2) Open up your ORIGINAL picture in "DXTBmp" (NOT THE BLACK AND WHITE ONE). Then go to Alpha, in the highest work thingy, and choose import Alpha channel, continue choosing your .BMP alpha channel, and there you have the alpha channel applied! (YES
)
Now you choose File>Save As> DDS Texture (Name doesn't matter i think... Only if you want to replace another file... But what does matter is the save as thing under the name, dont choose DDS DXT1 (NOALPHA) , but choose another (I used DDS DXT1)
Hope it can be usefull to all those who read...