Complex button rollover/rollout effect by Warhero

Complex button rollover/rollout effect by Warhero under the special effects section of flash mx 2004 tutorials.

I have been following this tutorial but it seems to be incorrect.

In step four, you are asked to create a movie clip.

What is it asking to make a movie clip of???

Am i right in saying, you cannot make a movie clip of nothing?

Am i doing something wrong or is there a step missing?

Hope this can be rectified.

Thank you.