TXD files consist of two textures. The first is the RGB (red, green, blue) channel, this holds a fully opaque texture and is where the patterns or decals or whatever are stored. The second is an alpha (transparency) channel, this basically relies on greyscale, with white representing fully visible, and black representing invisible, and grey in between.
RGB Example:
Alpha Example:
Merged Example (where checkerboard background represents invisibility):
You can either use a Bitmap for each of these channels, or use a PNG (which is very similar to a BMP only with a transparency channel). When you import the PNG it cleverly splits up the image into the RGB colour bitmap and the Alpha transparency bitmap.
If you're getting an error from Photoshops export of the alpha channel, try exporting the alpha channel from TXD Workshop then loading it in MSPaint. I'd imagine the texture is just pure white? In which case you only need use the paint bucket to fill it grey, then save and import back into TXD Workshop.