I had success with export of video with alpha channel this way, using CS5:
After importing my png sequence (with alpha channel), go to Export–> Media.
In the settings dialogue, choose Microsoft AVI for format. On the right hand pane, 1/2 way down are tabs.
Choose video tab.
For Video Codec, select “None.”
Check the box which says “Render at Maximum Depth.” Then in the dialogue box just below that, choose “32 bit.”
I also checked “Use Maximum Render Quality.”
I did this again, this time adding a non transparent green background to the png sequence to simulate green screen footage. I exported it in 24 bit. So, no transparency. I then keyed out the background in Premiere and exported again using the Microsoft AVI/None/MaxDepth/32bit. Worked well.