A lot more to it as you’ll see in the links by jdcooke above, but the short answer (in P6) is:

• with the object or figure selected, select the "Materials" tab at the top of the composition frame (or hit CTL-U). 

-  In the new Materials panel that opens, select the “Simple” tab at the top. 

-  One of the boxes in there is labeled “Transparency” and you can slide the Transparency dial there from 0% (no transparency) to 100% (completely transparent) for that single material.

• Applying a transparency map there will inhibit this effect in areas of the map shaded lighter.    (for the effects in my images above, no transparency maps were needed.)