The dancer was shot against a green screen background. I used the bundled keylight effect to remove the green screen color and then render a final clip to the Quicktime PNG + Alpha format. There are several articles and tutorials here which can help you to understand and practice the Color Keying process in After Effects.
Eran Stern
www.sternfx.com
Creative Cow After Effect Podcast
Motion Design with Adobe After Effects
A New Solid