Ok thanks for those suggestions.
I tried the TweenAlpha.Begin(FirstGameObject, 0.25f, 0f) and TweenAlpha.Begin(SecondGameObject, 0.25f, 1f) but nothing is really happening.
A couple of questions, maybe my approach is incorrect, NGUI has evolved a lot since my purchase and usage of NGUi 1.5 years ago

Right now my menu is build using basic NGUI UIPanels say UIPanel1 and UIPanel2. My main game script has both these gameobjects referenced an on start I simply SetActive false for UIPanel2.
Then UIPanel1 has one button and in the onclick of the that button I do:
UIPanel1.SetActive(false);
UIPanel2.SetActive(true);
Now I tried the suggestion below but I think I am missing something.
TweenAlpha.Begin(UIPanel1, 0.25f, 0f);
TweenAlpha.Begin(UIPanel2, 0.25f, 1f);
Any help?
Many thanks.