The square Cokin filters will work fine on the Alpha.
Basically the system works with 3 components
1) The Filter (s)
2) A Holder for the filter(s)
3) An Adaptor ring - this screws into the filter thread on your lens and connects to the holder.
So you need an adaptor ring for each size of lens filter thread that you want to use it with.
You then attach the the adaptor + holder to your lens, and slot in the filter(s) you want to use.
Cokin filters come in a few different standard sizes, if it's one of the 'small' ones (A?) then it may well cause vignetting on wider angle lenses.