Try rendering a quicktime movie with an alpha. You should be able to find a setting that will allow you to render with an alpha in the Output Module settings in the Render Queue. For instance, if you choose the Animation compressor, you can select which channels to render (RGB, Alpha, or RGB + Alpha. You want RGB + Alpha).
BTW, isn't "queue" a really dumb word? I think we should find the guy who decided on the spelling and line him up with the Committee on How To Spell Wednesday (CHTSW) - and shoot them all!