In addition to saving your work in .fla format (which is used by the Flash program), you have three other options of exporing the movie.
Export Movie: Lets you export animations in various movie formats.
Export Image: Lets you save your work in different image formats such as .gif, .jpg, .png, .bmp and other software specific formats.

Publish: Assists in generating HTML documents, standalone EXE file, .swf (Shockwave Flash file) for embedding into web pages etc. It is recommend that you first set the publishing options through File - Pulish Settings and then click on Publish. Published files will have the same file name (different extensions, however), as the .fla file.
The Publish options are given on the left.
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