Put the mouse over the button to see the effect...

Step One
Create a new document at any size you would prefer.
Step Two
Draw any type of shape, or you can make a text field.
Step Three
Select your square (with the black arrow), and make sure you select the whole thing.
Step Four
Click Insert> Convert To Symbol (F8). Name your button whatever you like. Then you will have a choice to pick if you want it to be a movie clip, a graphic, or a button. Click Button and click OK.
Step Five
Now, double click your button and you will see the Up, Over, Down, and Hit state.

Step Six
The Up state is what the button will look like without you putting your mouse on it. The Over state is when you put your mouse on the button. The Down state is what you will see when you click the button. The Hit state is never seen. The Hit state determines the boundaries for a button.
Step Seven
To put key frames in your over, down, up, and hit states you use F6.
Step Eight
Now, go to your main movie and look at the top of the menu in flash and click Control>Test Movie (Ctrl+Enter).  Hope Everything works out for you.