For one texture only, you can create an image with 32 bits (TGA, DDS etc) in order to use the RGB channels (24 bits) for the colored image and the alpha channel (8 bits) for the alpha map. This task is made in an image editor, like PhotoShop. SDK DX also has a texture editor to create DDS images.

So, in the code, you must to set the following:

device->SetTextureStageState( 0 , D3DTSS_ALPHAARG1, D3DTA_TEXTURE );
device->SetTextureStageState( 0 , D3DTSS_ALPHAOP, D3DTOP_SELECTARG1 );
device->SetRenderState( D3DRS_SRCBLEND, D3DBLEND_SRCALPHA );
device->SetRenderState( D3DRS_DESTBLEND, D3DBLEND_INVSRCALPHA );

device->SetRenderState( D3DRS_ALPHABLENDENABLE, true);
// render the textured object...
device->SetRenderState( D3DRS_ALPHABLENDENABLE, false);


For multitexturing, you can use pixel shaders. Search for multitexturing tutorials.