THAT'S IT!!!
I had enough of POSER8!!!
All animations that I export, no matter if I use FIREFLY or PREVIEW render don't have background image, BUT when I try to import avi to VEGAS or PREMIERE - GRAY background is aplied!!!
I have tried everything, all options, deleting material options  for background, switching codecs, trying all RENDER OVER options and still there is gray background instead of transparent. Pictures have transparent backrounds, animations don't. AAAAGH!

I AM definitely switching back to Poser PRO. No matter how many times it crashes, bugs with version 8 are really to much.

Thank you all (two of you) for responding to my post.