Depends what you mean -- do you mean "make it show on a checkerboard like in Photoshop"? If so, the problem is not that the image doesn't contain transparency (it does if you check the "save alpha" option), the problem is in the way you view the image.
If you have an image that you created with "save alpha" checked and it does not contain transparency, please send it to me at support at wondertouch dot com.
Alan.
www.wondertouch.com