To create an alpha channel, you must first convert your color image into a grayscale version by going to Image > Mode > Grayscale. Next, select Image > Channel > Alpha 1 and then click on the "Create New Image" button in the bottom right corner. Invert your selection by pressing Ctrl-I on Windows or Command-I on MacOS and then press Ctrl-C or Command-C to copy it onto your clipboard. Finally, go back to your original color file and paste the selection onto it using Ctrl-V or Command-V.