Sounds like you didn't account for the alpha channel.
You say you've "converted" the file to dds etc.? I'd recommend installing the
nvidia dds plugin module. That way you eliminate the need to convert files and can simply open and save dds with photoshop directly.
After you've opened the dds file in photoshop you can see the existing alpha channel inside the channel palette beneath four other entries (RGB,R,G,B). A channel is always grayscale and in the case of the alpha channel white means opaque and black transparent. Depending on which type of dds compression is chosen the interpolation between the two varies a bit.
If you started from scratch and created a new psd you need to manually create a new channel which can be done with one of the buttons at the bottom of the channel palette just as you would create a new layer in the layer palette.