I suggest using Search and trying out different methods you come across till you find what works.
I have yet to try transparency on my models, so I have not tried to figure out yet. I know it is possible, as others have done it previously.
Here is one thing I found.
This quote dates back to 2007, so I do not know if it will or will not work.
That particular method does not work. It is probably what BlockStar did, because it only works while in Milkshape.
What you need to do is create a texture that you want transparent. Name it "transparent".
While exporting, click on "transparent" in textures in the exporter.
Click Edit
Check the boxes that say "Translucent" and "Additive"
Do that for all of the textures you want transparent
When you are done, continue exporting
For more details, you should search a better tutorial, but this is what you have to do.