On the top left of the max viewport, here it says what view it is (perspective, left, etc), right click on it and go to transparency>best. That should get it working for ya. Odd about the TGA file though. You're sure you are saving it out as a 32-bit file? I've made the mistake before of rapidly hitting enter to skip the…
You need to use a format that supports alpha channels, like .tif or .tga. Targa files are standard in the industry, so you might as well use that to get used to it. If you open your .jpg in Photoshop and switch to the Channels tab you'll noticed there's no fourth alpha channel, just the three channels for RGB. That's why…