It's not a stupid question at all, don't worry
To embed an alpha channel in a video file, you have to set the Channels menu in the Render Queue's Output Module to "RGB+Alpha".
Now, the tricky part is that for most of the standard AVI codecs you only get "RGB" or "Alpha" as options. This is because they are 24 bit codecs, ie they lack the extra 8 bits needed to store transparency (don't mistake this "bit talk" with color depth, which is about bits per channel).. Choosing "No compression" in the Video for Windows (AVI) format options will definitely let you set the channels to RGB+Alpha. But it will also produce a very, very large file. Unfortunately, you'll see the selection of standard AVI codecs with alpha support is rather limited, and that's why so many users choose the Quicktime format with Animation or PNG codecs - same uncompressed quality, with somewhat reduced file sizes and alpha support.
Also investigate this on the Vegas end. From various posts by users on Videocopilot.net and some Betas I'm on, Vegas seems to be quite specific about how the Alpha channel must be embedded in the file and will ignore it, if it isn't.
Wow Adolfo, I can see a whole lot of years of experience wrapped up in that one answer! Thank you for taking the time to share and explain, as that was the answer. I always choose .avi because I thought it was the only loseless format, and I don't ever want to loose quality after all the work I put into my projects. My end destination is always DVD. I'm not into web or computer viewing. I don't understand why the alpha info isn't always part of the file, and I can't imagine why you would want to render just the alpha channel alone..........Oh well, my head is already pretty full, better not push my luck! Thank you too Mylenium as always. You are correct also, as Vegas handles alpha by default to 'none.' Not sure why they do that, but I'm sure there is a reason. Thank you both again. Cin