Sorry, mate, but I'm not always here... 😛
Yep, it happens when the "alpha channel" is disabled: it allows you to draw on a transparent background (as you surely know), but if it's not enabled, the final PNG image has a black or white background.
Well, I don't use Photoshop, but there should be an option to enable the alpha channel before start drawing, or when saving the image in PNG format: check it out.
Anyway, if this can help you better, I use a free program called RealWorld Paint.COM to make my icons: it has professional features, but it's more user friendly than Photoshop. It works directly on the alpha channel, so there's no need to activate it (or find the related option): just run the program, then create a "new raster image" and start to draw... Give it a try!
Hope it helps, mate!