Yeah, from what it sounds like, if you save it as uncompressed, you will probably not run into the "multiple of 4" compression thing, so you can just do the one icon.
With that said, you will need to load up your image (I usually export them to a PNG first, for ease of use, so this will be what I start with) then look at the "Channels" for your image.
I'm not sure if it's changed through various versions of Photoshop, but at least with the version I use (CS4) it's on the tab next to the Layers tab. You should see at least "Red," "Green," and "Blue." If you do not see a channel called "Alpha 1" then you need to make it.
Thankfully, it's not too hard assuming your icon is done properly with transparency already.
Simply ctrl+click the THUMBNAIL of the icon in the Layers tab -- this should create a selection that encompasses your entire icon without selecting any transparent area which should lie outside the "Circle." Then, go into the "Channels" tab, and at the bottom, there is a button that says "Save selection as a channel." Clicking this should automatically create an Alpha layer in the shape if your icon (white on black.) After that, you can save the image as a DDS with an alpha layer.