Can you tell me How to change the UI alpha?
I am want to do the "fade in" and "fade out" effect.
Depends, are you using 10.1 or 10.8?
In 10.1 I believe Widgets have an API to set the transparency, so you can use that. In 10.8 you would want to use 2 skins, one to represent the skin in its normal state, and then another skin with a skin effect that fades the widget over time. When you want the fade to occur you change the widgets skin.