First open up Flash. Right away put in your favorite settings, how many frames-per-second, how many pixels wide and tall it'll be and so on. Go to the menu bar and click on "Insert- New Symbol..."
I usually choose to make it a graphic instead of a movie. As a graphic, you can see just which frame the symbol is at when editing a Flash movie. Movie files are good for when you want the symbol to loop even if the movie is paused.
Now that you're in the Symbol editor go to "File- Import." You can import an animated GIF or a .MOV file. They work pretty much the same way. I prefer GIFs myself.