JoeGR: You helped me out alot, i found out i cant do this thanks to you :). from the normal save dialog, it offers me PNG. From the web dialog, it shows : PNG 8, PNG 24. So ya, PNG in photoshop is RGB only not RGBA.
No, it's not, it's RGBA. In fact it even supports alpha in PNG8, IIRC, though probably just 1 bit. Photoshop just exports the alpha in the way that GFK and Neilo described, and not in the way you wanted it to. And yes, Photoshop exports alpha to BMP in the way you want. So why not just export to bmp and use a command-line convertor to get your PNG from your BMP?