Okay!
First, open up your Macromedia Flash MX.
If you don't have one, download here:
Macromedia Flash MX
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After you have opened Macromedia Flash MX,
then design the button first, when your done with your button,
you right click the button and click on "Convert to Symbol"

Then write in "MenuButton" and select "Button" instead of
"Movie Clip" under where you write name.

Next step is to doubleclick the button, the timeline will change and it will say [UP][OVER][DOWN][HIT]

First thing you do, is pressing ALT and drag the frame from UP to HIT, the button will now be over all frames there.

Go to [UP] and right click, then "Convert to Symbol"
Write in: "MenuButtonInner"

Then hold in ALT again and drag the UP frame to the OVER frame.
Click on the OVER frame and maybe change the brightness lighter or darker, the OVER frame is the frame that shows when mouse is over it.

After you have done that.
Go back to "Scene 1"
And click on the button (left click)
And LOOK down at the bottom of the screen, you will se "Properties", but you have to click on "Actions"
And then some code system will come up.
What you have to do now is to C&P / Write this code down in there.

Click button to get to a site button is this code: