there are a couple of things that could have happened:
1)The government kept information from us (my least preferred, governments should NEVER keep things from their citizens, rather, the government should be composed of citizens all for a common goal)
2) It was during the Cold War, and when we [censored] up and crashed a revolutionary new flying machine we didn't want the soviets to know we even had it, so we spread the rumor of it being aliens. (I also find it very creepy that the story that I heard about Roswell differs in pretty much no way from your versions, 2 aliens dead 1 dying, and three ships, saw it on the Sci-Fi channel though, which is where I'm betting you guys heard your story, directly or indirectly)