You need to turn off z-writes (only z testing) and you need to render them from far to near.

thank's , you mean the ZBufferWriteEnable must set to False

correct.

also looks like you're using mip maps with a white background, and some of the background is getting blended into your lower level mip maps - producing the white halo edge around the smoke. to fix this you need to - been while - lets see, the image needs to be away from edges to prevent edge artifacts - clamp helps too. but you don't have those. so odds are its your sampling method when creating mip maps. can't recall offhand which method is preferred. been about 2 years since i got mine working correctly. if you still have questions re: filtering, start another topic.

please repeat

i mean how to kill these arficats of edge

this thread covers how to fix that:

http://www.gamedev.net/topic/638325-alpha-testing-i-manage-to-scorch-my-edges/