Make sure you haveKeep Alphaturned on when you open the shot, or on the Rez tab of the image preprocessor. If you have succeeded in writing an alpha channel but it has extraneous noise in it, this is always where to look: SynthEyes creates an alpha based on which pixels are exactly black if the original is not kept around.
Be sure to set your output sequence name, including the file type, before trying to turn on the alpha checkbox (SynthEyes needs to know the file type to know if it supports alpha channels).
If you write a file out, then look at it with Photoshop, be sure to go to the Channels tab and turn on visibility for the alpha channel.
Note that alpha channels may be written only from the image preprocessor, not as part of a Preview Movie from the perspective view.