Hi there,
If the new paint kit doesn't include an alpha layer, then you've got a couple of options.
First and easiest, take a look at another repaint for that aircraft that was done by someone else (probably take a look at the default repaint the aircraft shipped with). You can check this file in DXTBmp and see if there is an alpha channel on it. (Be extra careful not to over write this repaint while checking it out!)
If you find an alpha layer on that repaint, then you can export it to your image editing app, and then once in the image editor, save it as a new file on your computer. Then you can open up your own repaint you are working on, create a new alpha layer (with the button you mentioned) and export it to the image editing app. Now simply open up the other alpha channel you saved, paste it into that new alpha layer you imported, and save it. Reload the alpha in DXTBmp and it should appear.
Note that using this method, you'd want to be careful before uploading your new repaint, since it would technically contain someone else work. You'd need to get any permissions first, and if it's a payware aircraft, that'll probably be impossible.
Option #2 requires some more work. It would be essentially creating a new alpha layer manually. Just use the 'create alpha' button to make a new blank alpha layer, then you'll have to shade it's gray scales manually to suit each part of the aircraft. This can take considerable effort, depending on the aircraft.
Finally, if you add an alpha layer and notice that in FS2004 the aircraft is completely or partially transparent, then that particular aircraft model isn't able to use an alpha channel. There isn't any way to fix this unfortunately, as this decision is made by the modeler farther back up the chain, and can't be reversed once the model is exported and released to the public.
I hope that makes some sense. If not let me know!