How are squad A* created, in games like HL2, there is always a combine leader which tells other to attack and stuff, in COD 4 the squad based A* is very good, but how are they programmed to take cover, provide covering fire while someone advances, or even suppress the target with strategical moves like in close quarters buildings they check corners and stuff...

Judging by the way you throw the term A* (it's a pathfinding algorithm, not some sort of governing intelligence) around and the questions you're asking I'd gander you don't yet have a solid enough grasp on AI theory to get much out of any explanation yet. At the risk of giving you a tautology or whatever, you'd know how to do it if you're able-- the mechanics of implementing such behavior really aren't that difficult to plan out once you understand the proverbial toolbox that is AI.

Do some research into finite state machines, blackboards (there's a really good 'general overview' article on that right here on GDNet if you search the database; or you can just click here if you're lazy) and finally revel in the awesomeness that is STRIPS/GOAP and other such planning systems. This should get you started.

EDIT: Though, to be fair, STRIPS does showcase a rather clever application of A* pathfinding.

Chris Jurney has an excellent article in AI Game Programming Wisdom 4 how they did group movement in the RTS Company of Heroes. It came out looking rather organic.