Yes, thanks, that worked, BUT:

My big mistake was:

i did not put the functions in the right order.

This was the right one:

Code:
function fade_smoke()
{
	
	
	my.alpha -= 0.8 * time_step;
	if (my.alpha <= 0) 
		{ 
		my.lifespan = 0;
		}


}







function rocket_smoke_behavior()
{
my.bmap = pcxSmokeParticel;
		
my.TRANSPARENT = on;
	
my.alpha = 50 ;
my.lifespan = 80;
my.flare = on;
my.size = 10;
my.bright = on;

my.move = on;

my.function = fade_smoke;
}


function rocket_smoke()
{
	
while (1)
{

effect(rocket_smoke_behavior,1, my.x, velocity);
wait (1);
}
}


Thanks for all, now i solved it :-)