Err ... I think he was talking about the opacity of texture itself. The most common approach to this is to actually separate the polygons that will be used for the canopy, and apply the texture "glass to them (in the mediavps). Makes for cleaner edges anyway. If you decide to do this, refer to VA's post on where to put the glass in terms of hierarchy.
If you'd prefer to keep everything set up the way it is, first just try 32 bit TGAs. See if they work. Go back and make sure the transparency actually exists in PS or whatever you use. If you can't find the problem, just try resaving the files (make sure it is DXT3 or DXT5).
Also, IIRC the lancer cockpit is opaque too.