That's one of the limitations of depth map shadows. Set your lights and render globals to use raytracing, instead. You'll have to play with the material attributes a bit to get what you want (especially if you're using something other than a lambert) because even if you make the object transparent, reflections and whatnot will still cause shadows. Also read up on an attribute called "shadow attenuation."
"Terminat Bora Diem, Terminal Auctor opus."