In cycles you don't need to do anything special, just set your material to use the image's alpha channel as transparent and the light will pass right through:
For Blender Internal it's a bit trickier:
Set the transparency for the material by enabling the transparency box and moving the Alpha value to 0:
On the texture settings enable the
Use Alpha option for the image
and on Infulence settings enable Alpha
That will let the light pass through the texture, but other objects will receive the shadow of the mesh, not the transparency of the texture.
For other objects to receive the shadow cast by the transparency, you have edit their manterial and on the Shadow section enable Receive Transparent
