here is a Tutorial how to use the Alpha of a Layer http://www.youtube.com/watch?v=iDyxDRkjiVc
To use the Alpha , the Picture need the Alpha information.
If not: YOu could use the Luma Information as Alpha.
YOu would do this under the pixel Fx Menu and use a LUMA KEY .
You could also do this with the Blending Modes.
I hope this helps you ....
The best Format is ".png" with Alpha.
In Photoshop you can save the Picture with the Alpha information ....
If it´s an Animation you can export this from After Effects as a Quicktime / Format "png" with Alpha information.