You simply have to do exactly what that article says. Here are the instructions listed as "The most common approach", updated for XNA 4:
- Set
GraphicsDevice.DepthStencilState = DepthStencilState.Default
- Draw all opaque geometry
- Set
GraphicsDevice.DepthStencilState = DepthStencilState.DepthRead
- Sort alpha blended objects by distance from the camera, then draw them in order from back to front
If your transparent objects are more-or-less convex, then you don't need to sort triangles - just the objects themselves - as long as you use RasterizerState.CullCounterClockwise
(ie: backface culling, the default).
The reason that you must do this is that the depth buffer can only store a single value - which is that of the topmost pixel. There is no concept of drawing "under" that depth. The data that would be required to do that (the colours of the objects drawn above and below that Z-index, at that pixel) has already been blended into the final image and cannot be extracted.