Problem with background transparency

I don’t have much experience with uv’s in blender and am trying to follow a tutorial on Blender: Noob to Pro (http://en.wikibooks.org/wiki/Blender_3D:_Noob_to_Pro/Advanced_Tutorials/Advanced_Game_Engine/Game_Creating_Techniques(GUI)/Creating_Pop-Up_Menus). For the tutorial I unwrapped a plane in edit mode and then opened an image I made in GIMP in the UV/image editor. The image has text that says “Press any key to continue” and the background is transparent. However, when I render the image, the background isn’t transparent.

Can anyone help me figure out what’s wrong?