Using seperate file for transparency

I second PNGs, but if you're dead set on this, you can accomplish this by drawing transparent pixels on your sprite texture wherever you find them on your alpha map:

load the jpg as your sprite texture
load the alpha map as anything readable by ReadPixelFast
loop over all the pixels, if ReadPixelFast(alpha map) = black, then WritePixelFast(sprite texture, $FF shl 24)