Welcome aboard.
You don't need a listener for each key, just one can watch the entire k/b. Also, I would target a clip with your gotoAndPlays; it's not a great practice to just leave them hanging like that, especially when they are in an object listener and not scoped directly to a clip.
Try something like this:
ActionScript Code:
var keyListener:Object = new Object();
keyListener.onKeyDown = function():Void {
switch (Key.getCode()) {
case (37) :
//Left
trace("LEFT ARROW");
myMainMc.gotoAndPlay("whale_instructions");
break;
case (38) :
//Up
trace("UP ARROW");
myMainMc.gotoAndPlay("circle_instructions");
break;
case (39) :
//Right
trace("RIGHT ARROW");
break;
case (40) :
//Down
trace("DOWN ARROW");
break;
case (32) :
//Spacebar
trace("Space Bar");
break;
}
};
Key.addListener(keyListener);