Lets take a look at how it is done:

package ca.flashdev.drawing {
  import flash.display.Sprite;
    public class DrawShapes extends Sprite {
      function DrawShapes():void {
        createCircle(50, 50, 25, 0x0099FF)
        createEllipse(100, 25, 50, 100, 0x9933CC)
        createRect(175, 25, 50, 100, 0xFFCC00)
        createRoundRect(250, 25, 50, 100, 20, 20, 0xFF3366)
      }
      public function createCircle(x:Number,
                                   y:Number,
                                   radius:Number,
                                   color:Number):void {
        var circle:Sprite = new Sprite();
        circle.graphics.beginFill(color);
        circle.graphics.drawCircle(x, y, radius);
        circle.graphics.endFill();
        addChild(circle);
      }
      public function createEllipse(x:Number,
                                    y:Number,
                                    width:Number,
                                    height:Number,
                                    color:Number):void {
        var ellipse:Sprite = new Sprite();
        ellipse.graphics.beginFill(color);
        ellipse.graphics.drawEllipse(x, y, width, height);
        ellipse.graphics.endFill();
        addChild(ellipse);
      }
      public function createRect(x:Number,
                                 y:Number,
                                 width:Number,
                                 height:Number,
                                 color:Number):void {
        var rect:Sprite = new Sprite();
        rect.graphics.beginFill(color);
        rect.graphics.drawRect(x, y, width, height);
        rect.graphics.endFill();
        addChild(rect);
      }
      public function createRoundRect(x:Number,
                                      y:Number,
                                      width:Number,
                                      height:Number,
                                      ellipseWidth:Number,
                                      ellipseHeight:Number,
                                      color:Number):void {
        var roundRect:Sprite = new Sprite();
        roundRect.graphics.beginFill(color);
        roundRect.graphics.drawRoundRect(x,
                                         y,
                                         width,
                                         height,
                                         ellipseWidth,
                                         ellipseHeight);
        roundRect.graphics.endFill();
        addChild(roundRect);
    }
  }
}

Add this code to a new actionScript file and save it as DrawShapes.as in a folder structure of ca.flashdev.drawing.

Now create a new movie in Flash and open the Publish Settings (Ctrl+Shift+F12) window. Click on the Flash tab, then on the settings button. In the Document class: field insert ca.flashdev.drawing.DrawShapes. Test Movie (Ctrl+Enter) and voila, you have shapes.

You will notice I am extending the Sprite object. Here is an explanation of what a Sprite is:

“The Sprite class is a basic display list building block: a display list node that can display graphics and can also contain children.
A Sprite object is similar to a movie clip, but does not have a timeline. Sprite is an appropriate base class for objects that do not require timelines. For example, Sprite would be a logical base class for user interface (UI) components that typically do not use the timeline. The Sprite class is new in ActionScript 3.0. It provides an alternative to the functionality of the MovieClip class, which retains all the functionality of previous ActionScript releases to provide backward compatibility.”
- ActionScript 3.0 Language Reference

If you previously coded in AS2 you will also notice the addChild function. Depth management has changed in AS3. In AS2 we would have used getNextHighestDepth in the same function that we are creating our object with. Now in AS3 we use addChild after our object is created, to add our object to the next highest depth, or addChildAt to specify a specific depth.

Download the source files