Don't worry, it's not a silly question. What you need to do is set the opacity of the paper to 0%, making it essentially transparent. To do this you need to use the paper settings panel. You can access is via the Tools menu under Layer options.
You can find a more detailed guide to the paper settings panel by opening the ArtRage manual in the Help menu and choosing "The Paper Settings Panel" from the contents. This gives a rundown on how it works and what the various options do.
The short answer though is that setting your opacity to 0% here will make the background ( the canvas ) transparent. Let me know if I can be of further help!
PS, if you want to start with a transparent background right from the beginning, after you go to the File Menu, and hit "New", you'll see the new file window which also has an opacity dial for the paper. Just drag that to 0% and you're away!