Right-click on your button... -> Properties in Flash 4, Actions in Flash 5, the On mouse event(Flash 4)or On(Flash 5)will be there!
s-)
...You can also have a look at this: faq250-487
There are two animated buttons(1 & 2), and you can download the .fla to have a look at it! "If nothing else, I can always serve as a bad example!”