Glass objects modeled in 3DS Max for use in Adobe Photoshop

We are in the process of building an application for which we need to create 3 dimensional glass objects. Once rendered, we need to edit the object further in Adobe Photoshop before using it in Adobe Flash.

Our problem is that if we use materials we have been advised to use based on tutorials we've been focusing on, the glass object does not appear transparent in Photoshop. In Photoshop you actually see the Diffuse color as a solid color in the image. The only way we have sort of gotten this to work is, once opening the tga file in Photoshop we play with the color range to create the effect of transparency.

We need to render glass objects in 3DS Max that have the look of proper glass, that we can see as transparent in Photoshop.

Any guidance and/or advice would be much appreciated.