There is a 'mix' option on Soundforge which does just that, I fade out the first track over about 5 or 10 seconds, and fade in the other for the same length of time and then overlap the two faded sections with the mix option.
on windows media player there is a cross fading option in the tools menu, meaning that one song will start fading out while the other is played over it fading in. Its really cool
Thanks for your answers Blackthorn and Mudbug.
I forgot to add, I wanted to burn the completed result onto a cd to play. Would this be possible if I bought the sound forge 'Audio Studio' ?