To create an alpha channel in Photoshop:

1. Use an image you like: a .JPG, say.
   
2. Make the background some solid color, white, say.
   
3. Make sure that you have chosen Image > Mode > RGB Color.
   
4. Select that background area (you want it to remain opaque in Premiere): MagicWandTool
   
5. Select > Save Selection > Channel=New ; OK
   
6. Window > ShowChannels; Double click the new channel and rename it Alpha; make its colour (0,0,0)
   
7. Save the file as a .PSD

If the alpha channel you created in Photoshop has a white background,
you'll need to choose ReverseKey in Premiere when you choose Transparency>Alpha