You need to have an alpha channel in your TGA. In Photoshop, the window that contains the 'layers'.. it has a tab called 'channels'. You select whatever you want visible in the 'layers' tab (either with magic wand or whatever) then go to the channels tab. Creat a new channel (it'll be called Alpha#) color the selection 100% white.. Deselect everything and then save the TGA as a 32bit TGA.
But if you're using any other program, I am not sure how to go about it.. try searching for Alpha Channels in the programs help topics.