My ActionScript Box

I don’t know what’s going on, I’m a very new user to Flash MX. I"m using Flash MX 2004 Pro and I can’t find the onClick feature in the ActionScript. Is there an equivalent, under a different name, in MX2004? Also, when I use the getURL command I don’t get a dialog box like the one below:

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Instead, I get this:

http://www.blacktonic.com/actnatural/actionscript.jpg

Apologies for the stupid, very simplistic questions…but any help would be extremely appreciated!