Don't have Alpha channels

Hello, I’m experiencing an issue with my editor, I’m learning trough a tutorial and somehow, I only have the ‘save-browse-compress-reimport’ option in my tab while, in the tutorial, this is what the guy have on his tab :

I would like to add these alpha channels in my tab if it is possible, how do I do it?
I can’t find how to add them and I’ve been searching for two hours, your answers are my last hope.

Here is what the guy talks about in the tutorial : Unreal Engine 5 Beginner Tutorial - UE5 Starter Course! - YouTube
from 57:15 to 57:30

Thank you for your response and have a great day !