I found the solution to the problem myself. If anyone else wants to know how, this is how I did it. I use Material to set the alpha value. But Material needs Light to work so I started to setup the Ambient value under RenderState. Then can I set the DiffuseMaterialSource value to ColorSource.Material and set the materials color Ambient and Diffuse to the alphavalue I want.
This result in the code something like this:
device.RenderState.Lighting = true;
device.RenderState.Ambient = System.Drawing.Color.FromArgb(128, 255, 255, 255);
Material material = new Material();
material.Ambient = material.Diffuse = Color.FromArgb(alphaValue, 255, 255, 255);
device.RenderState.DiffuseMaterialSource = ColorSource.Material;
device.Material = material;