So you now have a new window with Up, Over, Down, and hit. When the windown first opens, you will only have an existent frame in one of the frame labels, UP.
Note: you may want to save every time you do something largely significant in your flash movie
You want to get your button so that it has content in all four frames. To do this, you simply right click each empty frame in the timeline and select insert keyframe. You must do this to each frame, Over, Down, and hit (Up already has content in it)