<YourName>.dds (main skin)
<YourName>.veh (vehicle definition file)
<YourName>Cockpit.dds (cockpit dashboard)
<YourName>Driver.dds (driver suit)
<YourName>Helmet.dds (driver helmet)
<YourName>Window.dds (EXTERIOR windows)
<YourName>Windshield.dds (INTERIOR windows - only used in cockpit view).

Body, glass, cockpit - DXT5
Driver suit, helmet - DXT1

The PSDs have appropriate generic alpha layers built in, just save to dds when you've finished painting :)

If you put a logo on the glass/visor textures it will also have to be added to the alpha layer of the glass in order for it to be opaque ingame.