Alpha channel in Video


I am trying to use DirectX to have a video play with an alpha channel displayed in it. The hope is that only parts of the video will be displayed and we can have other images displayed in behind it. Thats what brought me to CUDA in the first place. I see it has this capability. However I have come across a problem. How do i get a video to have an alpha channel in it? What format is used to keep an alpha channel? This might not be the correct place to post, but its the best bet i have at the time. Thanks for any help or direction you can lend to this.