Add a B&W adjustment layer above your color image and use the gradient tool to fade out the adjustment layer.
The previous poster most likley is suggesting you put a gradient inside of the layer mask for the B&W adjustment layer.
Yes, as Mike said: "Inside the layer mask."
To show what others are talking about, I did this B/W to Color Image:
In my case, I Duplicated the Background Layer (in color), then applied a Hue, Saturation, Brightness Adjustment Layer, and altered the Saturation to 0%. I then applied a Layer Mask to that Adjustment Layer, and created that with a Linear Gradient from Black to Transparent, in that Layer Mask. Note: I used Ps CS 2 on this laptop, so your GUI will look a bit different, but the process will be the same.