In cycles you don't need to do anything special, just set your material to use the image's alpha channel to control the mix of a diffuse (or other shader) and a transparent shader.  The light will pass right through the transparent areas:


[![enter image description here][1]][1]
*click on the image to enlarge*

To get volumetrics you need to change the world texture to have some volume absortion (and increase the intensity of your lights a bit):
[![enter image description here][2]][2]

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.


[![enter image description here][3]][3]

[![enter image description here][4]][4]

For other objects to receive the shadow cast by the transparency, you have edit their manterial and on the Shadow section enable **Receive Transparent**  

[![enter image description here][5]][5]

Now... as far as creating a volumetric light that uses that transparency... It just doesn't seem possible. The buffer shadows on the lamp seem to be follow only the mesh...


[![enter image description here][6]][6]

When you are expecting for something like this:

[![enter image description here][7]][7]

To create such image you need to have a mesh with the form you need to create the correct shadows.



  [1]: https://i.sstatic.net/3j8oD.png
  [2]: https://i.sstatic.net/FQcJD.png
  [3]: https://i.sstatic.net/1U1xd.png
  [4]: https://i.sstatic.net/UMphU.png
  [5]: https://i.sstatic.net/5AkY1.png
  [6]: https://i.sstatic.net/Ov5wI.png
  [7]: https://i.sstatic.net/emYLg.png