For transparenty objects you have to define alpha to you color or texture and enable alpha blending in you render state: link to msdn
Transparent objects have to be always rendered after opaque scene. If you have only one object, than you dont have problem.
If you have more objects, than there is problem to solve. Alpha blending is not comutative, so objects have to be sorted in a distance from actual camera position. Order independent methods exists. Original Depth peeling or dual depth peeling is mostly use on HW without sm5 (shader model 5 - dx11).
Shadows for transparent object are really not trivial task. First study shadow mapping. And once you be solid rock in it, than start investigate transparent shadows (take it only as recomandation). Wikipedia has surprisingly good article about it. Riemer's XNA tutorial series contaons also very good shadow map tutorial.