Photoshop is great but it is not always the easiest on bitmaps.
Here are a couple of options I read about doing this with Photoshop
One is to apply the alpha as transparency to a layer and use the Layer > Matting > Remove Black Matte function. Unfortunately this doesn't work when using a layer mask, the mask needs to be applied.
My preferred method would be to apply the alpha to the layer as a layer mask. Copy the alpha and paste it into a new layer above this masked layer. Clip the RGB version of the alpha to the masked layer and set its blend mode to Divide.
Seems more complicated and more steps so I use Pixelformer for simple stuff. I also use IconWorks and PhotoImpact.