Okay, well, how do I accomplish this?
This can be tricky to figure out if you don't have experience with Photoshop CS3 or CS4. Basically, to modify the Alpha Layer of a texture part, export it as a TarGA (.tga) image, and open it through CS3 or CS4.
From there, view the Alpha Layer and fill the parts that you want transparent with black. You can also do semi-transparency by filling the Alpha Layer with various shades of gray.