The Alpha Channel is this nifty storage area in your image's file for non-visible picture elements. Think of it as your picture's own little private utility closet/filing cabinet. The .psp picture file has these extra goodies stored in its Alpha channel that can just travel around with the picture (unseen until you need them) as a part of the file.

Major items of interest that get stored in the Alpha Channel are Selections, Masks and Creator Information. We can save this stuff to the Alpha channel and then dig it back out later to reuse for editing that picture or using in our other images.  We retrieve our selections masks and creator information back out of that "Alpha Channel storage shed" by using menu commands in PSP.

Save that selection (or even multiple selections) you've been working on, right there with the picture in the same file.  Stash it in the alpha channel for any future editing or reuse.  You won't have to go looking around your hard drive for masks selections or creator info, it's right there with the picture.

After a picture is open in PSP, you can also load selections and masks from that image's Alpha Channel right over into another picture by using the menu command Load from Alpha Channel.

Once a selection/mask gets saved to the Alpha Channel of some image (and
that image is open in PSP) all your other images and layers have access to those masks and selections in that Alpha Channel.

You must keep a master copy of the picture in it's native .psp format in order to retain access to those privately stored goodies in the Alpha Channel.  If you convert that image into another format besides native .psp -> Your secret Alpha Channel closet is zapped into oblivion and anything in it (selections masks creator information, and oh yes, your image layers too) will be gone. 

Menu> View> Image Information to access Creater Information
on your current image or custom install that little blue button on your toolbar.