You cannot have transparent parts (i.e. an alpha channel) in a skin. A "skin" is a texture for a UV wrap. And UV wraps do not have transparent (alpha channel) parts in COD2.
Also, whatever method you use to make an IWI file, the IWI file itself does not control how the image will be shown in the game. That is done by materials files. If you have an image that has an alpha channel, but you don't have the Frambuffer function set to "blend", the alpha channel will be ignored.