OMG so confused...
So the object is not into the group? do you know how to make a group?
First pick all the objects you want to become a group holding "control" or "comand" then press control+g (or comand+g). if the object that you're talking about is out of the group pick it and pick the group holding "control" then go to the transpancy panel and change the opacity.
If the object is into the group, I'd change the opacity of the group first and then with the white arrow pick the object and change opacity again.
I hope it works for you!
I think there is some basic misunderstanding of objects, containers and content, and how to use the selection tools, here.
An object would be the container (frame) and its content, if any, together. They are selected together using the Selection tool (black arrow). You can select either the frame (container), or the content, separately using the Direct Select tool (white arrow). A Group is a collection of objects that are meant to behave as a single object.
If you want the transparency to affect both the container and the contents, use the Selection tool to select the object, then choose Object from the dropdown in the Effects panel as shown in premio-oscar's screen shot above.
Thanks everyone! You guys just made my work so much easier:)