I am using Mesa on Windows (XP). However, I see that there are only two
pixel formats that could be used, and none of them has an alpha channel. Is
it possible to use other pixel formats (with an alpha channel) and how?

I guess I'm using the software render mode (this is what I want to do).
The GL_RENDERER string says "Mesa Windows GDI Driver".

I'm sorry if this has already been answered, but I just could not find
enough information about this online.