Sounds like you are new to Premiere. Remember that while most NLE’s can perform the same tasks, they do it in different ways.
In Premiere Pro 2.0, you create a crossfade by first having two clips on the same video track, one behind the other. Next, select a transition from your “transitions” folder located in your Video Effects panel. Simply drag and drop the transition you want, in this case cross dissolve, and drop it on the cut that wish to create the transition at. You have three options, and the little icon that appears as you drag and drop reflects which option you are being presented with:
Begin at cut: the transition starts at the cut. This means that all of the first clip will be seen in its entirety, and the dissolve will take place over the beginning of the second clip.
Center at cut: the transition will take place equally over both clips (you’ll lose a little of the end of the first clip and a little of the beginning of the second).
End at cut: the transition will take place over the end of the first clip, and the second clip will be seen in its entirety starting from the cut point.
It’s important to remember that you need to have additional head and tail footage for your clip if you don’t want Premiere to repeat frames. If you’re trying to do a dissolve right at the beginning or end of a clip, so the beginning or end CAPTURE point, you will end up having repeated frames as Premiere has to create frames to complete the transition.
You can set any transition as the default just by right hand mouse clicking on a transition and selecting “set as default”.
Intially, you might find the process a little tricky, but once you get used to it and start working with transitions using the Effect Control Panel, you’ll realize that its very flexible and you can easily set your transitions up exactly the way you want. Way better than “plop and drop” software that has limited options for tweeking.