When you put your title in the render queue click on output module and pick a format that allows for an alpha channel. (Such as quicktime, animation codec, millions+, the + stands for alpha).
And to answer your other question, yes you can preview on a monitor if you have AE 6.5, check the help files for info on firewire output.
I have a firewire card that goes into my camera which feeds into my telly.
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