About creating photo gallery

Hi there,
I was just reading the tutorial on creating your own photo gallery at http://www.kirupa.com/developer/mx/photogallery.htm and I was just wondering:
Im new at this,so this tutorial seems to assume that you already know the ropes with flash. Anyhow, I’m using mx pro 2004 and I wasn’t sure how to create a “new movie”. Any ideas? There is no option for “new movie”. Thanx ahead of time!