Jpg's and alpha channels

I downloaded the free Monster toolkit from Rampant Design. The skin texture files are jpg's... How do I get these to work with alpha channel in Fusion? I watched a After Effects tutorial where they are using the alpha channel with these jpg's. I always thought jpg's didn't have an alpha channel...
Any help would be appreciated, I'm a fusion newb.
Any help would be appreciated, I'm a fusion newb.