First, you need to remember the rules of Shape Tweens:

1. Shape tweens must be on their own layer

2. Shape tweens can only occur between SHAPES.

1. In a flash document, create a new layer (Insert > Layer).
2. Double click on the new layer's name and rename it "Shape Tween".
3. Determine how long you want your tween to be. In this example I'm going to make a circle morph into a square over a 2-second span. My flash project is set at 12 frames per second, so this means I will need 24 frames in a 2-second movie (2 seconds x 12 frames per second = 24 frames).

4. Put your cursor in the 24th frame and click. Hit F6 to insert a keyframe (or go to Insert > Timeline > Keyframe).
5. Put your cursor in the 1st keyframe and click.
6. Select the circle tool and draw a circle on the stage (make sure you are in the Shape Tween Layer > Keyframe 1).
7. Put your cursor on the 24th keyframe and click. Draw a square on the stage.
8. Put your cursor in the 1st keyframe and click. Look down at the properties box and confirm that you are seeing the properties for the FRAME (you should see the word "Frame" on the left-hand side of the properties box). If you are not in the Frame, click the 1st keyframe in the Shape Tween layer.
9. Once you have confirmed you are seeing the frame properties box for the 1st keyframe in the Shape Tween layer, you should see a drop-down menu labeled "Tween." Select "Shape" from this drop down menu.
10. Look up at your timeline. You should now see a solid arrow that runs from Keyframe 1 to Keyframe 24. The timeline will also have a color behind it (in most versions of Flash, a shape tween has a green background). You have now created a Shape tween.
11. Put your cursor in the 1st keyframe and click. Hit ENTER to watch your animation.