Make trail renderer's material

As it is suggested in the documentation (Unity - Manual: Trail Renderer component) we should generally use particle shaders as materials in trail renderer for having the best result.

I want to create something similar to the effect that is being shown to the example, there, but I don’t know where to start from. I did search about Particle Shaders but nothing useful came up.

So, what software should I use in order to make a texture for such a material?

Also, the documentation is not clear enough about the array of materials that can be used. Why to use an array of materials?

I am not sure, however, usually any material with transparent edges works fine.

The reason the editor allows you to add multiple materials is so you can layer them into the trail to achieve multiple effects in a single trail using different textures/shaders, which allows you to achieve pretty complex trail effects.