I'm new here, so I'll keep this really basic. It's the briefest lesson on MX you'll ever see Hope it's relevant to the version of MX you are using.
Open MX
New Document>Insert>New Symbol>Button
Use the "Oval" tool to drag/draw a nice shape and fill with a colour of your choice.
Now select "Over" in the timeline and right click. Select "Insert Keyframe" and pick another colour from the swatch.
Repeat that same process for "Down" and "Hit" in the timeline.

When you have done that click "Scene 1" and you will see your blank document

Select "Window" in the top toolbar and go down and select "Library". That will open a small window showing the Button symbol you have just created. Drag the symbol from there and on to your document.
To preview your button, go to "File>Publish Preview>Default(Flash).
Save it or drag the finished button to your Library window for future use.
Adding text etc is pretty straight forward.
Good luck.