1. Follow the quick start to make a workable menu

2. Create a custom action for your menu item.

Open Library, press Ctrl+L or menu "Windows > Library". Double click a item to edit it.

In the stage, select all graphics by press "Ctrl + A".

Press Ctrl+F8 to convert the graphics into a new symbol. Give a name. Here i fill in "icon_1_button". And select type "button".

Now you have a button inside your item movieclip.

Select the button. Press F9 to open action script panel. Fill in the following action script.

Now you can define your own action.

on(press) // Action for item press
{
        //Do your own code here

        //Load a movie into _root.loader_mc
        _root.mcLoader.loadClip("b_mc.swf",_root.loader_mc);
}

on(rollOver) // Action for item rollover
{
        //Do your own code here
}

on(rollOut) // Action for item rollout
{

        //Do your own code here
}

3. Last step. Make sure "Enable Item Event" switch off.