CS4 (XP-32bit) doesn't save alpha channel

When I use the "Save As..." command to save a picture with transparency as a Windows bitmap file (.BMP), the transparency information gets lost. I selected alpha-channels and chose 32-bit in the BMP options dialog.
In CS3 this works fine.
Any idea how I can get it to work in CS4? The target program can only read BMP-files, so my workflow depends on it.
Thanks.

The BMP format does not support transparency.

A few BMP variants do support an alpha channel (not transparency, but some games use it for transparency). I believe all of those variants are under the advanced options section when saving.