I have seen this question raised here many time so i think this should be a sticky.
Its pretty straightforward rendering particles using the hardware render buffer. But what happens when you need an alpha channel? You select every possible option for the alpha but yet your alpha doesnt show up.
Well this is a stupid Maya bug.
For the alpha to be rendered out you have to use the Iff image format.
It wont render out using any other image format.
So after rendering out in iff then use fcheck to convert them to tga.