I'm having a little trouble understanding you in places, so I've broken your post into a few sections, to try to isolate each point.
From: Anniella Winx
Ok, thanks for that info. But let's say I make a set of clothes in Paint shop pro and I want part of them transparent. How do I make them that in PSP if I have to paint the alpha (the black/grey/white) on the mask?
I'm not sure I understand your question. You seem to know that any part of the mask (or the alpha channel) that is black will make that part of the image transparent, any part that's white will be opaque, and any part that's gray will be opaque, so I don't get whatever it is you think you're missing.
From: Anniella Winx
I'd like to make the actual alpha channel, I mean paint it and import it as an alpha layer somehow instead of having to paint on the mask.
I'm not sure why you see painting on a mask as different from painting on a channel. You have all the same tools at your disposal, and all the same rules apply. So what's the difference?
From: Anniella Winx
Painting on the mask would be a hell of a job to too if I want to make for example a lace within the material. The edges for example should be opaque (white alpha) and some areas transparent in different shades (grey alpha) and there would be tiny little laces and holes, hundreds of them, lots of small details. Why do I have to paint theses all by hand?
You don't have to paint it by hand. You can copy an existing grayscale image to a mask if you like, or you can use filters, selections, whatever you want. Working on a mask is just like working on any other piece of an image.
From: Anniella Winx
It should be alot easier if I could transfer the coloured texture image to an alpha.
I'm not sure what you mean by this. Individual channels do not support color, so copying a full color image to a channel will rarely do much good. What is it you want the colors to do in the channel?
From: Anniella Winx
I'm used to painting the alpha myself and se the actual black'n white picture, not paint on the mask like in PSP
If that's how you prefer to work, then why not just create a grayscale image on a layer, and then copy that layer to the mask? It adds a couple of copy & paste steps you wouldn't ordinarily have to do, but hey, that's why PSP is cheap and Photoshop isn't.
From: Anniella Winx
and I don't really understand how it's possible in detailed pictures 'cause it means you'd have to paint every single pixle by hand to determine the grey shade of it.
I don't know what you mean by "to determine the grey shade of it". Anyway, as I said earlier, you don't have to paint pixel by pixel if you don't want to. Any and all techniques that you use on any other image element can be used on masks.
From: Anniella Winx
And how can I actually see in PSP what I paint?
Now you're hitting on one of PSP's sillier limitations. It won't show you the mask itself, just the effects of the mask. Why? Who the hell knows? PSP's come a long way in the last few years from the abysmal piece of dren that it used to be, but it's still got a few vestigial remnants of its old ways. This is one of them.
From: Anniella Winx
When I paint on the mask itself it's either set to a strange red shade or totally transparent.
The "strange red" is the overlay. You get something very similar in Photoshop if you turn on visibilty for the alpha channel at the same time as the RGB channels. Basically, it's showing you a red-scale version of the grayscale mask. The more transparent the pixels, the more intense the red.
From: Anniella Winx
I want it to be a traditional alpha in white/black and grey shades *cries a li'l bit LOL*. To me it's impossible to paint an alpha on the mask.
Well, it does behave like a traditional alpha. All the normal grayscale rules apply. It's just that PSP doesn't have a way to display the mask by itself like Photoshop does.
Anyway, give it a little time, and I'm sure you'll find that it's not impossible. It's just slightly different behavior than what you're used to.
From: Anniella Winx
I need a mentor and guide hahahah

Raise your hands if you want to be my mentor in SL!!!
I'm happy to answer questions on the forums where I can, but I don't take it in-world. If I did, I'd never get anything else done. Sorry, not raising my hand on this one.
From: Anniella Winx
I've done all this so many times but for clothes in different games where you can separate the picture parts so you paint alphas separate from the image itself. I realize it's probably possible but I just don't know how to do it now when it's gotta be in one and the same picture and on a d**n mask.
As I said earlier, you can certainly work this way if you choose. Make your grayscale transparency map on a layer, then when you're ready, copy the layer to a mask, and copy the mask to an alpha channel. All that copying and pasting is silly to have to do, but again, PSP is cheapo software (and as such, in all fairness, it's really good for what it is). If you want something that allows you to work a bit more efficiently, that's what you pay for with Photoshop.
From: Anniella Winx
Let me ask you Photoshop users, do you paint the alpha on the mask in Photoshop too? Or do you paint it as a separete layer or image? Can you see the alpha image in black/grey/white shades when you paint it?
The answer to all of the above is yes. In Photoshop, you can do any one thing a million different ways. If you want to work PSP style, you can, but you don't have to.
Photoshop's interface is wonderful in that it will show you every image element as you want to see it. Here are couple examples:
For masks, the default view is just like that of PSP, showing the effect of the mask rather than the mask itself. However, should you want to see the mask itself, you absolutely can. You simply alt-click on the mask's thumbnail in the layers palette and the mask appears on the canvas as a grayscale image.
For channels, Photoshop has an actual channels palette, which is one of the essential things that really sets PS lightyears ahead of PSP. Photoshop's channels palette displays channels the same way the layers palette displays layers in both programs. You see all the channels listed in a stack with thumbnails, and you can toggle visibility on or off for any or all of them at any time.
For me, PSP's lack of a channels palette is the single biggest reason I don't use the program.