Particle Engine

I was typing up a nice long reply for you last night and my computer froze on me, so I will have to make this short:

You can find a really good tutorial at: http://www.gamasutra.com/features/20000623/vanderburg_01.htm

I am planning on writing a tutorial based on that tutorial, but using pointsprites as well as billboards.

Moe''s site

DrunkenHyena has a tutorial on getting started with particle effects. Check out Lesson 9: Moving bitmaps in 3D space @
http://www.drunkenhyena.com/docs/d3d_tutorial.phtml

That tutorial is essentially a D3D version of the NEHE (OpenGL) lesson 9: http://nehe.gamedev.net/tutorials/lesson.asp?l=09

Also, try researching ''billboarding''. This is a technique commonly used for particle effects. It allows you bitmap to always appear to be facing you.