I created a simple button for you in the ZIP file I posted. It has the FLA and SWF in it. It also has the ActionScript coding to make it act like a button - Go to whatever URL you specify. Download it and have a look, I think it will answer some of your questions. Select the button on the Stage in the FLA and press F9 to open the Actions panel, you can see the code, it's very straight forward.

Just to clearify, if I save my buttons, banners, etc. in ".swf", would you say I should create 2 different buttons i.e. one with NORMAL & another the HOVER. I'd have thought that I could make do with JUST ONE ".swf" & use some sort of Action script in Flash to create its hover effect, but I haven't enlightened myself up with it yet but if it is possible, it would be just fantastic, frankly speaking.
In answer to this question, you only need one SWF file for both states. In the FLA I posted you can see this.

If you're teaching yourself to use Flash then go for it!!! Emersion learning is the way to go. Sometimes a lot of headache, but you'll learn quicker.

If you have any questions about the attachment I provided, just let me know.

Happy to help.