you have 2 different types of particles. Software Renderable and Hardware Renderable. The only Software Renderable particles, I believe, are Clouds, Tubes, and Blobby Surfaces. The rest are Hardware Render particles.

Under Window > Rendering Editors > Hardware Render (or something to that effect) is the Hardware Render window. Using this renderer, you will need to render the particles.

Than, render your scene without them. In an editing program, such as Premier or After Effects, combine the two renders for the final product.

This may be a little advanced for your current stage in learning, but it's good info.