Alpha Channel Question

Hello,
I have an animation with a white drop shadow on it that I animated in Aftereffects.  I export the file from Aftereffects and no matter what I try the white drop shadow shows up as a dark shadow every time in Premiere as if it's matted with black.  So I'm wondering if there is a setting I'm missing or something I need to do differently when importing to Premiere, or even when exporting from aftereffects, although I've exporting it several different way so far to no avail.
So here is what I have,
I'm using Adobe CS4 for AE and Premiere, on Windows 7
When I export from AE I'm using the color setting for unmatted (and I've tried it matted with black too just for fun, clearly that didn't work out for me:)
I've tried it as an avi and as a mov file too.
Sooo, in case your answer is for me to use Dynamic Link, I can't get that to work either.  And I'm sure that is just user error since I've never used it before.  I can get the aftereffects sequence to show up in my project files in Premiere, I can even get the animation to show up and play in the preview monitor, but when I put it on my Premiere sequence over the background it doesn't show up, just seems like a blank layer.
Any ideas?
Nina

Thanks for your replies!  So I'm not very good at explaining myself.  I did export (and by export i mean, make movie by adding it to the render queue) the file as both of you are recommending.  As a movie file, with an alpha channel, all one file.  The reason I was trying to do it separate next was because it wasn't displaying properly that way.
Finally, what I did as a work around, is just export the background I was using from premiere, import it into aftereffects, Put everything together in aftereffects and then render the finished file without using an alpha at all.  In pic #1 so you can see how premiere cs4 won't properly display an animation with a white shadow behind it if it's imported with an alpha channel and placed on top of a background.  #2 shows how it was supposed to look.. how it looked once I put everything together in Aftereffects instead.  I just thought there should be a way to fix my problem without the extra step of exporting the background.  But I don't think there is.
However,
THANK YOU for your replies and trys!!
(Oh yeah I should also mention that I did try, PSD sequence, Quicktime rgb+alpha, Lossless with alpha etc.. none of which seemed to work for what I was trying to do.)

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