After Effects assumes transparency. If you add an image with transparency AE will use it. To check for transparency enable the transparency grid at the bottom of the Composition Panel. To render a file with transparency choose the Lossless With Alpha preset from the options in the Render Cue's Output Module. Media players like QuickTime, Windows Media and HTML 5 players for the web do not support transparency. If you need transparency for use in a NLE or other compositing app then you should make sure that the Color Mode in the Output Module is set to Straight Alpha.