scunny

Click Select-Colour range...
use the eyedropper to select white area on your image, leave fuzziness set @ 100
Click OK
Hit Del to erase white area of your image (make sure layer is not locked)

OR if you want to create an actual alpha channel...

Select colour range as above, then...
Click WIndow-Channels
A box should appear
Click new channel (at bottom right of box)
This channel should be auto-named 'Alpha 1' the image should go black
Click Edit - Fill...
Contents - Use: scroll to 'white'
Blending-normal, opacity-100%
Click ok
Now if you save as a TIFF or other alpha supported format, an alpha channel should be embedded in the file.

Hope this helps.