What you need to do is make a series of .tga or .jpeg's or any other picture formats into the fade away animation. then label them as fade001.tga, fade002.tga ect.

use the first one as your transparency file and check the box that says 'use sequence'. you may have to configure some stuff to get it to work (I dont have maya up at the moment).
When you press play it should fade.

hope this helps