Render and export to a format that can include an alpha channel. Make sure that you have selected the option(s) in the export settings that tell the encoder to include the alpha channel. One such setting is the bit depth Millions Of Colors+, in which the plus sign refers to the alpha channel. Another example of such a setting is the Encode Alpha Channel option in the Video tab of the export settings dialog box for FLV output using On2 VP6 codec.

For more information, see the "About alpha channels and mattes" <http://help.adobe.com/en_US/AfterEffects/9.0/WS08A8A927-0E3A-48a6-AFF9-BB40FD445B35.html> section of After Effects Help on the Web.