Use SetAlpha to set the alpha of all following drawing operations. So set it to what you want for this particular sprite and then reset it to 1 (or whatever you need) afterwards.
Also, by alpha-blending, do you mean giving your sprites smooth edges (anti-aliasing)? If so, you can do that quite easily. Use an art package that can create and save images with an alpha channel and draw them against a transparent background. Load them as normal, but use SetBlend ALPHABLEND before drawing them. The advantage here is that there is no need to use a mask colour.
Also, by alpha-blending, do you mean giving your sprites smooth edges (anti-aliasing)? If so, you can do that quite easily. Use an art package that can create and save images with an alpha channel and draw them against a transparent background. Load them as normal, but use SetBlend ALPHABLEND before drawing them. The advantage here is that there is no need to use a mask colour.