not sure what version of PSP you have, or what you are doing to create alpha channels, but mine works perfectly in creating TGA directly with alpha...
I do the following:
Create the image as you normally would, with no background (transparent background) so as to preserve the opacity.
Once you have finished creating your image, merge everything except the background, you still need the background as transparent for the alpha channel creation...
go to Layers -> New Mask Layer -> From Image and change the settings to match what I have in my example image below.
After you have created the mask layer, you can create another layer underneath everything as the background. Make this background layer black.
Select the Mask Layer you created in a previous step, and then to go Layers -> Load/Save Mask -> Save Mask to Alpha Channel. Name it Alpha Channel 1 (not sure that is necessary, but this seems to be what most alpha channels come up as when opening tga images from other sources...). Save the Alpha Channel.
Now with everything visible, including the black background, go to Layers -> Merge -> Merge All (Flatten) and save this image as a tga. You should now have a 24bit TGA + Alpha that works correctly in WOW or any other program that supports alpha channels...
