A heightmap is exactly what it sounds like it is. Its a map of the terrain altitudes. Some heightmaps use colors for different heights, but CAW uses a greyscale.
Here is the heightmap I used for Alexandria. I edited it of course.
http://www.google.com/imgres?imgurl=http://www.photoshoproadmap.com/imagenes/blog/relief-shading/relief-shading2.jpg&imgrefurl=http://www.photoshoproadmap.com/Photoshop-blog/2006/07/17/rendering-a-map-using-relief-shading-technique-in-photoshop/&usg=__1i42LDrXBruxQ6MnsOYRZdxB6FM=&h=278&w=600&sz=31&hl=en&start=0&zoom=1&tbnid=YpJOum-6E2tR-M:&tbnh=93&tbnw=201&prev=/images%3Fq%3Dheight%2Bmaps%26um%3D1%26hl%3Den%26sa%3DX%26biw%3D1600%26bih%3D710%26tbs%3Disch:10%2C114&um=1&itbs=1&iact=hc&vpx=658&vpy=262&dur=2083&hovh=153&hovw=330&tx=211&ty=95&ei=pHQaTf7mIY32tgO3xcSZCg&oei=pHQaTf7mIY32tgO3xcSZCg&esq=1&page=1&ndsp=21&ved=1t:429,r:10,s:0&biw=1600&bih=710
I save them as a 16 bit PNG.
