Opacity

There are three major ways to supply alpha data (opacity/visibility) to a rendered primitive in DirectX. The first is to set the vertex color alpha component to the desired alpha value for each vertex. The second is, if you use materials and lights, to set the alpha in the material diffuse color. The third is, if you use a texture with you primitives, to retreive the alpha from the texture assuming it contains alpha data at all.

Whichever method you use to supply alpha you need to turn on Device.RenderState.AlphaBlendEnable to enable alpha blending in your scene.

Check out this page in the MDX docs for an introduction to alpha blended rendering.