Make sure, as Magup says, that lines are set to 'supervised'. Then you may do an external transfer in the following manner:
Call comes in;
Place call on hold;
Get new dial tone (line button, dial 9 etc);
dial new number;
Press F3 (or Conf);
Press held line;
Press F71 (or 'Transfer'); and
Rls
The act of pressing transfer is the final act that will disconnect you and allow the two external lines to talk.
If you have three way calling or centrex transfer from your telco, you may use a slightly different method;
Call comes in;
Dial F71 (or Link);
Dial tone will be returned;
Dial new number;
Press F71;
Rls
Good luck
PhM