Umarım Yardımcı olmuşumdur.
Timer tmr;
        bool ackapa;
        public Form1()
        {
            InitializeComponent();
            this.Opacity = 0;
            tmr = new Timer();
            tmr.Interval = 100;
            tmr.Tick += new EventHandler(Opacity_Ayarla);
                   
        }
 

        private void Opacity_Ayarla(object sender, EventArgs e)
        {
            if (ackapa == false)
            {
                Opacity -= (tmr.Interval / 1000.0);
                if (this.Opacity > 0)
                   tmr.Enabled = true;
                else
                {
                    tmr.Enabled = false;
                    Close();
                }
            }
            else
            {
                Opacity += (tmr.Interval / 1000.0);
                tmr.Enabled = (Opacity < 1.0);
                ackapa = (Opacity < 1.0);
            }
        }

        private void Form1_FormClosing(object sender, FormClosingEventArgs e)
        {
            if (e.Cancel == true)
                return;

            if (Opacity > 0)
            {
                ackapa = false;
                tmr.Enabled = true;
                e.Cancel = true;
            }
           

        }


        private void Form1_Load(object sender, EventArgs e)
        {
            if (!DesignMode)
            {
                ackapa = true;
                Opacity = 0;
                tmr.Enabled = true;
            }
        }