I guess you've deleted the Alpha Channels or something. Alphaing out is not a big deal. Just convert a .BLP to a .TGA and delete the parts you want to have removed.
In the lower right bottom of PSP, there should be a layer section where it displays all the layers. Right click on one of the layers and " merge all (flatten) " it should work.
Some models (mostly heroes) can't be alphaed out and wil turn white. Like Archimonde or Warden. You'll need modeler to change model to alpha out stuff from them.