Can't get alpha to work in the simpleshape tutorial

I'm sure I'm missing something obvious but I've been trying for a couple hours to get transparency to work in the simpleshape tutorial. I loaded the file that comes with the lesson and exported it without changing any settings, and there is no transparency in the show tool. The cube is solid.

I made sure both flags for two-sided textures are checked (in the material and in the exporter roll-out).

I added the .png material to the opacity channel, and I played with every variant of opacity settings, both in the opacity map, in the opacity setting at the top of the material window, and in the settings in the texture that determine whether it uses the texture alpha. There's still no transparency.

Based on the tutorial, I think I should be able to open the file that came with it, and export it with transparency as long as I haven't monkeyed around with the settings. So there's something going haywire.

I'm using Max 7 and the exporter dated 4/28/2004, in case there's something funky in that combination. All the other tutorials up to this one turned out just fine.

Thanks for any help you can give!