This will depend on your version of PowerPoint and the effects available. Here's how I would do it.
1. Insert the grayscale image.
2. Insert the colour image.
3. Make sure that the size of each image is the same, the colour copy should sit nicely on top of the greyscale one.
4. In the custom animations, set the colour copy to 'dissolve', and it should follow the greyscale copy in the order of events.