when you have the movieclip or button selected, press f9 to open the actionscript panel. if the object you want is not selected, it will go straight onto the frame.
I have the action window up and everything, and the movieclip is selected on the stage. But in the actionscript panel it says "Current selection cannot have actions applied to it". This is happening to all my movieclips, is there a step I'm missing?
EDIT: I started a new document using AS 2.0 instead and didn't have this problem. What causes this to happen in 3.0?