Just to clarify, SFX is how it’s done with physical elements, VFX is how it’s done with computers.
Alpha is accomplished via the RGBA button on the format tab (F10). Be sure to select a format that supports alpha, e.g. OpenExr, .png, .tif, etc. You’ll likely need to track the shot also. Icarus is outdated, unsupported and slow so try Voodoo:
Click on the tutorials section.
I read on http://www.blendernation.com/2007/09/18/blender-sfx-workshop-dvd-greenscreen-nightmare-released/ that guy also has a DVD for more advanced matting techniques with Blender (garbage matting, etc…).