How to project movies containing alpha channel

Hi everybody on CC,
ive Just created account here, so I can get some pro tips on basic problems that I encounter.....
I tried rendering movie file with alpha channel ( flv with alpha - setting in AE), so I can then project the movie on a wall without the rectangular border, but it seems I dont get the desired effect, the object in the movie has a shadow which is not visible, no matter of the wall is light colored or dark....also the rectangular shape is still visible. What player / codec should I use to achieve this?
Greetz