You should see a dialog something like this, after clicking the Settings... button in the "Movie Settings" dialog. Here, we'll need to select a proper Compression Type, and be sure we get an alpha channel. The Compression Type we'll use for this tutorial (there are a few others that also support an alpha channel) is "PNG". Select "PNG" crom the pulldown menu. Next, in the compressor settings where it says "Depth:", select "Millions of Colors+"; pay special attention that you get the "plus" sign on the end. That means we'll get 24 bit color, plus an alpha channel.

Please select "Current" next to "Frame Rate:", and you may check "interlaced", if your video is interlaced. Most video shot on consumer cameras is interlaced. Unless you shoot in a "progressive frame" mode, check interlaced. You can select "Best" next to "Filter:", although I'm not sure it matters. PNG is a lossless format, and we aren't scaling or changing the color depth.

Click Ok to go back to the "Movie Settings" dialog, then select Filter...