I am not quite sure what you mean. If you are talking about a movie clip fading out, then create two frames that contain the same movie clip 10 spaces apart. Make sure that first frame's movie clip carries through up until the second one. Once you do this, right click on the space in between the frames, and select "Create Motion Tween". Then, go to the second frame and click on the movie clip. There is a drop down menu next to the word "color", in the properties panel. Click on the drop down menu, and select "alpha". After that, type "0" in the text box, and hit enter. Run you movie, and the clip should fade out.
You could also try to use a mask. You can try this by right clicking on a layer in the timeline, and then clicking mask. You must then create a square that moves of screen in the mask layer. If you do it correctly, I think that will provide the same basic effect.
I've done the fade transition just like MartinWeb describes in his first post, adjusting the alpha and making a motion tween. Works great. The only thing I'd add is, I've found a 20 frame transition is smoother.