It's on the Video tab in the export settings, towards the bottom.
Some settings are often hidden - you have to scroll down to reach a few settings, and the scroll bar is not obvious. I kept exporting things at 29.97 fps (I'm in PAL land) until I discovered that this was the default setting and only became visible when I scrolled down
AH yes, Jim and Alan,
I didn't scroll down enough. I see the Depth Menu now. And a bunch of other stuff!
Thanks for clearing that up!
If choosing ProRes 4444 with an alpha channel, make sure you set it to 64 bit in the settings. That will enable the alpha channel.