This must rank as the "most frequently asked question ever". (And consequently, the worst use of Google ever, apparently, since CGTalk alone has more threads on the topic than you can shake a stick at).
The problem: You render stuff in Maya, using mia_material(_x) - or any other "mental ray" shader - but you find that those pixels containing that shader has no alpha. What gives?
The reality is that Maya has a very peculiar notion of Alpha... because the Maya software renderer actually has true three-colored "transparency", so transparency gets passed around separately in the most... odd... ways ;)
Hence, to get the Maya system to "understand" a standard shader that uses alpha, you need to check this here little checkbox:
Then, life should be more fun again!