a lot of people have the problem of making smoke in flash really easy.
but you need flash 8 pro to do this.
1) use the brush tool and draw a blob in gray
2) make some holes in it by using the rubber tool
3) right now he's the tricky part make it into a graphic and go into the properties panle select filters and add blur
4) now blur it and maybe use alpha to make it a little transparnet
and your done if it doesn't work pm me!