It's there automatically in the render, whereever you see the background. You might need to set your desktop to 32-bit colour for it to work. Some image and video formats support the alpha channel: TIFF, PNG, and PSD for images; Full Frames (uncompressed), Huffyuv, and maybe Indeo for video. Utilities like Photoshop, Paint Shop Pro, and Adobe Premiere can use the alpha channel as a mask. It's perfect for overlays, composites, etc.