You'll need to use a video codec that has alpha-channel support.

Full frames (uncompressed RGB32) is one option.

Huffyuv is another; in the codec's configuration options, be certain you enable "Always suggest RGB" and "Enable RGBA".

CorePNG is a new lossless codec with alpha-channel support. It's still in a beta state, and has playback problems with Windows Media Player, but it seems to otherwise export properly from Poser. I haven't tested it in Premiere yet. I posted a review in the Director's Cut forum.