PSP7 will do alpha channels on it's own and save to PNG - but it warns you that the PNG doesn't have an alpha channel. However when you load it into Visual Express it does have the alpha channel. This confused me but it seems to work :)
Instructions for creating image from a texture with a uniform colour background
---
Use the magic wand to select the uniform colour area (ie the background).
Invert the selection
Then do CTRL-C CTRL-V to copy the image so that it doesn't have a pixel background.
Click on Masks -> New -> From Image
Select Source Opacity and Click on OK
Click on Masks -> Save to Alpha Channel
Click on OK and then OK.
Voila - your image now has an alpha channel - save as PNG, ignore warning and it should work.
That works for me anyway.
In the layer palette you can view the alpha channel by clicking on the little face mask icon next to the glasses icon