There's a couple different ways you could do this.
1: You can set a move route for the character in your event. The character's opacity starts at 0. Have the move route set the opacity to 12, wait a few frames, then set it to 24, wait a few frames, and repeat, until you reach 255 opacity, taking however many seconds you want it to.
2: Make a small picture of the ground underneath the character, and have it show above the character, so it looks like he's not there. Then just "move" the picture from 255 opacity to 0, and it should look like he's fading in. This one might be a little trickier, though.
In either case, though, this should do the trick.