i use flash mx but the most ive been able to do is make a stick man shoot a guy in an infinite loop with no sound
i could do more with persistence, but i prefer to make maps and enter the art contest. thats my weekly creativity
you just want to play a sound file with an action or w/e, right? just go to file>import to library, choose the file, and then drag the sound from the library to whatever keyframe(drag from library to center of screen, not the keyframe on the timeline) you want it to start playing at(in the movie, or in a symbol, or whatever). you will need to have suffiecent frames in that layer for it to play the whole sound file, but thats easy, just create a layer for the sound.
does it have to be a graphic? you could make it a button, and add a sound on the over-state. much easier that way, i would think. just pay attention to the sync mode in the property inspector.
I used to know a bit of ActionScript back when I used Flash 5, made a few decent (IMO) animations that got voted right the hell off Newgrounds in a matter of minutes