I don't have any experience using Photoshop but maybe you need to create an alpha map layer on your PSD file before it will let you use that option, a 32-bit bmp is just a 24-bit bmp with an alpha channel to control transparency.
Another option that might work is saving your psd as a 24-bit bmp and then loading this bmp back into Photoshop and re-saving it into the 32-bit format you want. That's basically what I am doing with PSP and Photoshop.