I use .PNG all the time to save PI effects with alpha/transparency channel for video editing/creation.
You need some kind of NLE (video) editing software that is able to recognize and open a sequence of .PNG or whatever other format Dean mentioned. Make sure you have: "Single Frame Only" un-checked and "Alpha Channel' checked when you export.
For example, I want to use what I make in PI in Sony Vegas 6 and let's say I have 800 frames that I want to export from my PI-3 project, let's call it "Stars":
-- As I export from PI, I first create a folder called "Stars," then name the to-be-exported .PNGs the same. What I get is a folder with 800 single frames. By the way, I always use uncompressed so as to get the best quality.
-- I import it into Vegas telling it to read the entire sequence, i.e. Stars001-Stars800. And that's what I get in my track time line: a moving sequence that acts just like any .AVI, not just one still image.
Last, a some video tech trivia/info on file formats:
-- .AVI is actually just a "closed" container of single frames anyway. You just can't see it as multiple frames as you can in a folder of .PNG files. If one compares the file size of uncompressed .AVI with that of a sequence of uncompressed .PNGs etc. of the same thing, one sees that it comes out to about the same in Mb or Gb.