In 2007, create your new material for glass, or apply your already existing glass material to the object, then turn on realistic visual styles. The glass should be transparent provided your glass material is also set to transparent.
I started with 2 identical solids, created a glass material using the glass template, applied it to the one solid, then made a stone material and applied it to the other solid. The result is what you see.
To prove transparency, the final picture shows realistic and 3D Hidden styles applied. Thus using realistic visual styles in AutoCAD 2007, you can indeed have one material (i.e. glass in a window) transparent while the rest of the material is not.
In 2006 I think there is an option to apply materials to objects while in 3D shade mode, but I don't know if there are realistic styles available.