You make a circle a movie clip. You insert it in a frame and add it filters ---> alpha 100%. You create a keyframe a few frames away (depending on how much you want the circle to last, or how dramatic you want it to look, so to say) and in that frame you give it alpha 0% and increase its size. I remember doing them like that... I hope it works.

Thanks. It actually worked. When I added a tween.

gradient + shapetween?