I'm assuming that you want to do is to make your entire model (or rendered object) consistently transparent with bump-mapping. If what you mean is that only certain parts are transparent or you have varying transparency, the following would need to be modified (ex. like using an alpha texture or something). Anyway, on the to answer:
You are probably using a pixel shader to draw your object. This returns a 4x4 color float. That is, ARBG. You want to create a value (either static or variable) for the alpha channel. For instance, if you set this to 0.5 you will get 50% transparency. Next, you need to enable alpha-blending. I wont go into exactly how to set that up here, but it's not hard to find (EDIT: Refer to what circlesoft said above). Finally, you might want to consider how this is going to affect the appearance of your rendered model, because if you do not have backface culling on it may reveal an effect you're not quite looking for. On the other hand, if you do disable backface culling ( ie. CullMode = None; in your shader pass) for this effect, you must consider that you're increasing your draw call by all the backfacing triangles -- which can potentially double the triangles rendered.

(NOTE: This will be a pure "see-through" effect. If you want something like a glassy effect, you will also need to include refraction and the like.)
Feel free to reply with any questions. I appologize for any mistakes -- it's late [wink]