Start with a new Movie, In this case I have used a 150 x 400px movie, set a Background Color.
Now you will need a MovieClip in the Library for creating the menu items, Iin this case called 'but', for button because that is how it will behave..

This clip should have two layers, one for the text and another for the script. The script Layer just has a stop(); command to make sure the clip stays still and the text layer has a dynamic text field with an instance name label_txt.

Set the font size and color but don't worry too much as we will be overwriting it with ActionScript anyway. Make sure the top left of the textfield is at 0,0 of the instance.

There should also be enough room in the text field for your menu names, set it to a bit less than the width of your movie, I just put some charachters in it to size correctly.

Now you will need to set the linkage for your MovieClip, this is very important otherwize the Flash engine will not include the movie in the final swf.

Right click the movie in the library and tick export for actionscript. We'll use 'but' for the identifier name, make sure export in first frame is also ticked, it usually is by default.