Create a movie clip ( you can refer to step 1 on page 1 of this tutorial ).
Click on circle and press F9 , to open actionscript panel , insert the following code :

onClipEvent(load){
    _root.createEmptyMovieClip("line_mc" , -19000) ;
    _root.line_mc.lineStyle(5, 0x0066CC , 100) ;
    _root.line_mc.moveTo(this._x , this._y) ;
}
onClipEvent(enterFrame){
    diffx = _root._xmouse - this._x ;
    diffy = _root._ymouse - this._y ;
    _x += diffx / 5 ;
    _y += diffy / 5 ;
    _root.line_mc.lineTo(this._x , this._y) ;

}
onClipEvent(mouseDown){
    _root.line_mc.clear() ;
    _root.line_mc.linestyle(5, 0x0066CC , 100) ;
    _root.line_mc.moveTo(this._x , this._y) ;
}


    Explanation  of code :

_root.createEmptyMovieClip("line_mc", -19000) ;
       Creates an empty movie clip at the root level , with the instance name line_mc at -19000 depth .

_root.line_mc.linestyle(5, 0x0066CC , 100) ;
       Assigns a linestyle to movie clip line_mc , with the following parameters.
       Thickness - 5 ;
       RBG          - 0x0066CC ;
       Alpha        - 100 ;

 _root.line_mc.moveTo(this._x , this._y) ;
       Moves the current drawing position to ball_mc's x & y coordinates .

_root.line_mc.lineTo(this._x , this._y) ;
       Draws a line using the linestyle assigned , from the current drawing position to the coordinates mentioned .

_root.line_mc.clear() ;
       Removes all the graphics created during runtime by using the movie clip draw methods , including the linestyles specified .