I've got quite a bit of experience with Flash (From the days of V4).
So erm, Flash MX right? Actually, importing coudln't be easier.
It's just File > Import that throws it straight in the movie, you can also do File > Import to Library. That does, guess what? Import to the library!
If you don't like how it looks, i.e. not as crisp as the Flash vector art, then you can Modify > Trace Bitmap. This is a brilliant feature that does what it says on the tin.