Blender- save with Transparency.. help??????????


Hi Guy, do any of you use Blender?
I downloaded it yesterday to experiment with some typography ideas - never done any 3D stuff before... but how the hell are you supposed to save it as a PNG without the grey background?!?!? This is absolutely doing my nut in - In the 'render' tab, i'm rendering it as RGBA, on the little icons below the render screen I'm clicked on the RGBA one too, I just had a plain grey background, and read somewhere to disable sky... well I didn't have a sky so I turned something off... environment? and it went black - I've saved this about 10 times now and every time I do, it always has a background.
please please please help??!

it's in cycle mode rather than blender render, if that makes any difference?
I fixed it!!!!! I have NO idea why it didn't work before, but it appears uninstalling and reinstalling blender made a box appear in the render bar that says 'transparent' in the film section. Works in blender render and in cycle render. Spent the entire evening trying to figure that one out. Hope that works for anyone else who may have the same problem.