How are you exporting the file. If you are using AVI, GIF, JPEG etc, it will not work. You need to be doing it this way (from the Xara manual) which is usually the first thing you should check.
Exporting transparent title animations for movies
If you plan to export a Xara 3D Maker animation to a MAGIX movie editing program, for example as a title or caption to play on top of a movie, your animation will need a transparent background.
The standard AVI export in exports an animation with a solid background, covering the movie behind it. To play it on top of a movie, you'll need a video effect (called chroma keying or blue screen) to remove the background.
In this case, export the animation as a CFX file. This is a special file format used in MAGIX movie editing and slide show programs. As well as containing a reference to the exported AVI file, the CFX file holds all the transparency information you need to allow you to blend your animation perfectly with the movie.
To export your animation as a .cfx file choose the file format "MAGIX CFX (*.cfx)" in the "Export Animation" dialog.
The transparent titles consist of the .cfx file and the associated AVI file which contains the animation movie. The .cfx file contains the background transparency information. All AVI files are stored in Documents and Settings\<User>\Local Settings\Application Data\Xara\Xara3D7\AVI_CFX (WIndows XP) or Users\<User>\AppData\Local\Xara\Xara3D7\AVI_CFX (Windows 7 and Windows Vista). The files must not be deleted or moved from there, otherwise the .cfx files will not work. However, the .cfx files can be stored in the video project folder or anywhere else.