To include this FX in your document you need to put the the following in the HEAD section of your document

<!-- *** BEGIN CUT - Start Code *** -->
<!-- (* Another free JavaScript from JavaScript-FX.com *) -->
<script type="text/javascript" src="JSFX_LinkFader.js"></script>
<!-- *** END CUT - End Code *** -->

You then need to upload your HTML file, and the file JSFX_LinkFader.js to your site.

Customization.......
To change the color of the ON link use the following code

<!-- *** BEGIN CUT - Start Code *** -->
<!-- (* Another free JavaScript from JavaScript-FX.com *) -->
<script type="text/javascript" src="JSFX_LinkFader.js"></script>
<script type="text/javascript">
    LinkEndColor="FFFF00";
</script>
<!-- *** END CUT - End Code *** -->

where
LinkEndColor="FFFF00";
is the color of the link when moused over in the format RRGGBB
RR is the hex color for the amount of red: 00 -->ff
GG is the hex color for the amount of green: 00 --> ff
BB is the hex color for the amount of blue: 00 --> ff

Also See...
Using External ".js" Files