Photoshop PM Zorana Gee writes,
People who work in the 3D and film industries and who use the OpenEXR format in Photoshop CS5 will be happy to know that we now offer a plugin which preserves files’ alpha channel on import/export. Out the box, Photoshop bakes the alpha into the layer transparency. Users who are happy with this behavior don’t need to do anything. Others who find that they need to preserve the alpha channel should simply install this plugin to override the default behavior.