I keep all black and all white images for just this eventuality. Open MS Paint, or whatever image editor you use. Create an all black image to whatever size your video project is (640x480, or whatever). Save it as a BMP (ignore the other options: it's an all black image so bitmap is plenty good). Now you can import this image into any project (and program) that needs this type of fade.
Import, adjust the opacity as needed, and WABAM! Fade!
And if you want, I can post a screencap too!
Having trouble playing back videos? I recommend: