Z testing tests if incoming fragments depth is lower than the one currently in the Z buffer (ensuring that stuff in the background doesn?¢_Tt get drawn on to of stuff in the foreground). Disabling Z writing mean?¢_Ts that nothing gets written to the depth buffer, this should be done for translucent polygons so that stuff that gets rendered later wouldn?¢_Tt be tested against the depth of transparent polygons.
I don?¢_~t use direct3D, but a quick googling gave me this
Device.SetRenderState(D3DRS_ZWRITEENABLE, false);
If you use alpha testing like lifepower suggested then you don?¢_Tt need to worry about sorting and a lot of commercial games do it like that, but this way you?¢_Tll be limited to complete transparency (no translucency) and there?¢_Tll be texture filtering artifacts on passing and non passing fragment edges.