Not sure if this is a Vegas issue or an After Effect issue, but I usually get helpful answers here, so...

I've decided to create text files in AE, because, well, you know.

I render in AE as an AVi file and in Vegas set the Alpha setting in Properties to Straight, and place it on the uppermost track. Unfortunately, there is no transparency, and the whole track shows as opaque, blokcing the tracks below.

What am I doing something wrong in AE, which I'm new at, or in Vegas? Thanks.

To hold the transparency information, you must use UNCOMPRESSED and make sure the program is set to include the transparency information.

Ed, by "program" do you mean AE? Any idea where I would set that in AE?

Edward is correct. Set your output module in AE to Straight / uncompressed.
A good way to understand and learn is check out this link.

Understanding Straight vs. Premultiplied : Adobe After Effects Tutorial (http://library.creativecow.net/articles/rabinowitz_aharon/straight_vs_premult.php)

Hope this helps

Thanks guys, the Output Settings in AE needed to be changed.

And, yes, by "program" I meant AE.