In 3ds Max you have to define a alpha map and assign a texture to it in the material editor. Last time I've used max it did not support exporting x models, you always needed a 3rd party plugin to export. Even then, it might export the main texture file used on the model, but it will not export any native max properties; alpha, shine, bump, etc.
In DBP, the easiest way is to use a texture with an alpha channel, like a png file. Then you need to set the alpha properties of the object.
Example:
Load Object "HUD/cursor.x",1
Load Image "HUD/cursor.png",10,1
Texture Object 1,10 : Set Object Transparency 1,1
hope this helps