I'm still using version 2.45, so I can't say if its changed at all since, but on the Render Globals [F10] in the "Format" tool box, where you specify file format, there's an "RGBA" option, select that, and make sure you select an output image format that supports 32bit, PNG / TGA / TIF, some of the other formats like OpenEXR might support an alpha as well, but I couldn't say off hand. I think that might do the trick for ya.

Core i7 950@3.02GHz | 12GB Corsair Dominator Ram@1600mHz | 2GB Geforce GTX 660

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