If you load the rendered output back into particleIllusion, do the particles show? If not, the alpha channel is probably empty (not rendering).
Did you check the “create non-intense alpha” option? If so, and if all of the particles in the project are “intense”, none of them will be added to the alpha channel. This is intended behavior — check the docs.
Is the render occurring in particleIllusion itself, or in pIRender? If pIRender, you probably need to run pIRender manually and turn off hardware acceleration.
Alan.
http://www.wondertouch.com