An alpha channel is basically the transparity colour. If an image is all max alpha it will be 100% see through and show what is behind it. With no alpha, nothing behind the image is show.
To import an icon, simply download it. Then in Warcraft 3 the frozen throne's WE, use the import manager to import the icon file into your map. Finally save and use it wherewver you want. It gets more complex with fade icons and things like that but still simlar principle.