Publishing for the Web
If you have tested your site by going to control > test movie, and you have what you want, you will want to Publish your site to a .swf file.
To publish your Flash site you will want to first check the publishing settings to make sure all the applicable export options are turned on. They are under file > Publish Settings... You can see here that many options for publishing are grayed out here.
By default it is likely that Flash and HTML are turned on. These are the most common and both are necessary. Check their individual settings, (each should have a tab), and click ok. Now go up to file > Publish to write out the Flash site you will later embed into in a web page.