The 'Player Alias' option is to connect 2 different poker site names together, under a new, unique Alias name. Before you can create an alias you want to be sure you can find your various site names. If you only play 1 site there is no need for an alias.
http://www.holdemmanager.net/faq/afm....aspx?faqid=35
The 'Hero Names' option is to help the HUD know where you are sitting at the table.
Cash Games > Reports > Click 'Change' and search your Poker Site name. Do not click the drop-down arrow. That opens a list of previously searched names.