Ok I've been stuck on Flash MX 2004 for ages and finally got Flash CS4. I only use Flash for animating and doing banners. I've just created a button, put it on the timeline and clicked on Actions. I've got this stupid message saying 'Current selection cannot have actions applied to it' I realise I am probably being very thick but what am I doing wrong?
AS3 won't let you attach scripts to buttons anymore. RIDIC!!
So you have to write an Event Listener in a class or on the timeline holding the button for the click of the button.
YOURBTN.addEventListener(MouseEvent.CLICK, nameOfFunctionToRun);
function nameOfFunctionToRun(me:MouseEvent):void { // insert your actual code to do here }
It's ridiculously cumbersome for what you do Suzy and I offer you a hug. It really sucks because it's crap written by programmers who have never lived one day in a non-programmers life and Events were written in software that didn't have the communication capabilities that Flash did. So, Flash abandoned it and went with programmery things instead. Good decision with a sprinkle of sarcasm.
There are advantages in working this way but not enough to warrant in a banner or small site.
Hope that helps though. I'd say hit F1 but half the code there fails to compile too (unless that's just CS3).
Ahhhh thank you Storm, you are a star!
I cheated and just changed it to use AS2 
I just realized I forgot the end code tag.
Good call on AS2. I actually keep Flash MX 2004 on my computer anyway. Certain things were way easier.
But if you want to go to AS3, I need to correct my own mistake. I fell into the trap that Adobe and everyone else do and not be PROPER with my code example. I want to clarify in case anyone else reads this thread or if you try AS3.
YOURBTN.addEventListener(MouseEvent.CLICK, nameOfFunctionToRun);
function nameOfFunctionToRun(me:MouseEvent):void { // insert your actual code to do here
// if your button only exists once and then isn't used again then remove the listener
YOURBTN.removeEventListener(MouseEvent.CLICK, nameOfFunctionToRun);
}
Good luck on your project. 
Thanks 