You don't say which version of Vegas Movie Studio you have and whether it's the basic version or Platinum. Also it's not clear what fade effect you are referring to. A screen grab would help.
But anyway try this - in Platinum (I don't know about basic version) go to Options/Preferences and the Editing tab. There alter the Quick Fade length for audio events to the minimum of 1ms. Not quite zero but it should suffice.
Actually, i've just figured out what I was doing wrong. I was layering the new audio file over the over the old one, and that's what was making the software automatically put the fade effect on. I have now since figured out how to detech audio from the main video file so that I can delete it, and replace it with the new. It's all okay now.
Also, to answer your question, it was the regular version of Sony Vagus Movie Studio.