1 - Did you actually do something on the alpha channel? (not layer... channel. Go into the channels tab next to the layers tab.)
Black = Transparent
White = Opaque
Everything in between = Translucent
2 - Did you make sure save alpha channels was checked when saving
3 - Did you save it also as 32-bit (I'm not sure about this one)
4 - Try saving as dds (see
here for plugin)