More than likely, the rectangle you drew was not perfectly connected on all corners. Instead, use the Rectangle button itself, and draw the rectangle without a fill (you remove the fill by selecting the fill color and choosing the empty box). Then you simply add a keyframe for each corner you’d like the circle to go on the circle layer.
Once you have done that, you simply tween it. To help you understand it more clearly, I have created a Flash 4 FLA just for you that highlights how I did that. You can download that at the following URL: www.kirupa.com/temp/jay_rectangle.fla
I hope that helps. If you have any further questions or comments, please don’t hesitate to post back.