An alpha channel is a layer in a video clip that makes part of the frame transparent in an editing program. Alpha channel clips use either the Animation or PNG codec, so be sure that your editing software supports these codecs.
When you import an alpha channel clip into an editing program, the alpha channel automatically becomes transparent (it is usually the black space in the clip). Just drag and drop your footage under the alpha channel clip. Make sure your editing program supports alpha channels.
For tips on using alpha channels in Sony Vegas, please read this article.