How on earth do you do this?!!

Every single time I have tried  I end up with something along the lines of this!  I want a transparent .png file with just the shadow, but no matter what I do I end up with the shadow over top of white!!!

I save all of my images at .png files and when I open them in Paint Shop Pro there is no background, just the rendered image. Yet I can't seem to do that with just the shadows.

"It is good to see ourselves as others see us. Try as we may, we are never
able to know ourselves fully as we are, especially the evil side of us.
This we can do only if we are not angry with our critics but will take in good
heart whatever they might have to say." - Ghandi