i know how you feel
your not alone i've had flash for a while and i still can't do good enough.
however i know how to solve your problem.
on the last keyframe, type something like the end with replay underneath it.
then click on the text and press f8 and convert to button then type in the main timeline actions (f9)
stop();
this means it will stop on whatever frame you aplied it to and will not continue
then right click on the button saying replay chose actions and then type
on(release)
{
gotoAndPlay(1);
}
this means whenever you click on the replay button it will go to and play whatever frame number you typed in the brackets.
i hoped this helped :)