First create a new directory for your project.  I named mine development_tutorial.  In that directory add two directories, Dev_Develop and Dev_Deploy (some developers like to use Dev_Source instead of Dev_Develop, I will leave the choice up to you).  So now your directory structure should look like this:

Once you do that you can go into Flash and create a new FLA called Main inside the Dev_Develop directory.

In your new FLA go to file>publish settings.  On the Formats tab change the swf and HTML paths to point to Dev_Deploy:

So now when you compile your movie it will compile into the Dev_Deploy directory.  This is very handy when you just want to hand your client a directory that has everything they need to deploy the site/project.

Next click on the Flash tab and click the ActionScript 2.0 Settings button. Click the plus (+) button to add a new Classpath and type in ./classes

This tells Flash to look in a local directory called classes for any custom Classes. 

Click okay and we now have our basic directory structure set up as well as our FLA.  Lets move on and write some custom Classes.