Using point sprites in MDX/C# is possible (this snippet seems to work), but I doubt point sprites are the way to go for creating beams like this.

An alternative would be to create a nice looking beam texture and put that on a quad (a flat rectangular mesh) which spans from the source of the beam to the target. This approach can be extended by using multiple quads in a cross formation (so it looks better from all camera angles) and animating the texture coordinates to get a pulsating and/or 'running' beam. I hope this makes some sense, as I can't seem to find more coherent info on it.